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Share Return Seasonalities and Price Linkages of Chinese A and B Shares

Author

Listed:
  • Richard A. Heaney

    (Department of Commerce, The Australian National University, Canberra ACT 0200, Australia)

  • John G. Powell

    (Department of Finance and Quantitative Analysis, University of Otago, PO Box 56, Dunedin, New Zealand)

  • Jing Shi

    (Department of Commerce, The Australian National University, Canberra ACT 0200, Australia)

Abstract

This paper investigates share price linkages between Chinese corporations' foreign-designated B shares and the numerically dominant domestic A shares of the same companies. Chinese share return seasonalities are examined and the suggested satellite trading relationships are subsequently tested in order to provide an understanding of the linkages between A and B shares. The seasonality results along with arbitrage activity in the market for Chinese A and B shares suggest that a dominant-satellite relationship is likely to exist whereby the A share market is the dominant market for price formation and the B share market is the satellite. The paper identifies significant price linkages from the A to B share markets which are nevertheless weaker in an economic sense than might be expected.

Suggested Citation

  • Richard A. Heaney & John G. Powell & Jing Shi, 1999. "Share Return Seasonalities and Price Linkages of Chinese A and B Shares," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 2(02), pages 205-229.
    • Handle: RePEc:wsi:rpbfmp:v:02:y:1999:i:02:n:s0219091599000138
    DOI: 10.1142/S0219091599000138
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    Citations

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    Cited by:

    1. Qin Wang & Hsiao-Fen Yang, 2015. "Earnings announcements, trading volume, and price discovery: evidence from dual class firms," Review of Quantitative Finance and Accounting, Springer, vol. 44(4), pages 669-700, May.
    2. Mr. Jason D. Mitchell & Ms. Li L Ong, 2006. "Seasonalities in China's Stock Markets: Cultural or Structural?," IMF Working Papers 2006/004, International Monetary Fund.

    More about this item

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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