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Stock market efficiency in China: evidence from the split-share reform

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  • Andrea Beltratti

    () (Bocconi University)

  • Bernardo Bortolotti

    () (Bocconi University and University of Turin)

  • Marianna Caccavaio

    () (Bank of Italy)

Abstract

We perform an event study to investigate the efficiency of the Chinese stock market. We study the reaction of stock returns and trading volumes to the 2005-2006 structural reform which allowed the transformation of non-tradable shares (NTS) into tradable shares (TS) through payment of a compensation to holders of TS. We find evidence of positive abnormal returns in the few days before the announcement of which companies will undergo the reform process and in the ten days after the readmission to trading of participating companies following the determination of the compensation, but no abnormal returns after the payment itself. From a methodological viewpoint, our contribution is the introduction of a bootstrap procedure that is designed to replicate the actual degree of covariance across firms.

Suggested Citation

  • Andrea Beltratti & Bernardo Bortolotti & Marianna Caccavaio, 2014. "Stock market efficiency in China: evidence from the split-share reform," Temi di discussione (Economic working papers) 969, Bank of Italy, Economic Research and International Relations Area.
  • Handle: RePEc:bdi:wptemi:td_969_14
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    References listed on IDEAS

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    Cited by:

    1. repec:ebl:ecbull:eb-16-00790 is not listed on IDEAS
    2. repec:eee:quaeco:v:68:y:2018:i:c:p:31-38 is not listed on IDEAS
    3. repec:eee:quaeco:v:68:y:2018:i:c:p:132-142 is not listed on IDEAS

    More about this item

    Keywords

    Chinese stock market; market efficiency; event study; bootstrap;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • N25 - Economic History - - Financial Markets and Institutions - - - Asia including Middle East

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