Puzzles in the Chinese stock market
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- John Fernald & John H. Rogers, 2002. "Puzzles In The Chinese Stock Market," The Review of Economics and Statistics, MIT Press, vol. 84(3), pages 416-432, August.
- John G. Fernald & John H. Rogers, 2000. "Puzzles in the Chinese stock market," Working Paper Series WP-00-13, Federal Reserve Bank of Chicago.
References listed on IDEAS
- Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
- Mehra, Rajnish & Prescott, Edward C., 1985.
"The equity premium: A puzzle,"
Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
- R. Mehra & E. Prescott, 2010. "The equity premium: a puzzle," Levine's Working Paper Archive 1401, David K. Levine.
- Engle, Robert & Granger, Clive, 2015.
"Co-integration and error correction: Representation, estimation, and testing,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
- Kang, Jun-Koo & Stulz, Rene M., 1997.
"Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan,"
Journal of Financial Economics, Elsevier, vol. 46(1), pages 3-28, October.
- Jun-Koo Kang & Rene M. Stulz, 1995. "Why Is There a Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan," NBER Working Papers 5166, National Bureau of Economic Research, Inc.
- Domowitz, Ian & Glen, Jack & Madhavan, Ananth, 1997. "Market Segmentation and Stock Prices: Evidence from an Emerging Market," Journal of Finance, American Finance Association, vol. 52(3), pages 1059-1085, July.
- Campbell, John Y & Shiller, Robert J, 1988.
" Stock Prices, Earnings, and Expected Dividends,"
Journal of Finance,
American Finance Association, vol. 43(3), pages 661-676, July.
- John Y. Campbell & Robert J. Shiller, 1988. "Stock Prices, Earnings and Expected Dividends," Cowles Foundation Discussion Papers 858, Cowles Foundation for Research in Economics, Yale University.
- John Y. Campbell & Robert J. Shiller, 1988. "Stock Prices, Earnings and Expected Dividends," NBER Working Papers 2511, National Bureau of Economic Research, Inc.
- Campbell, John & Shiller, Robert, 1988. "Stock Prices, Earnings, and Expected Dividends," Scholarly Articles 3224293, Harvard University Department of Economics.
- Campbell, J.Y. & Shiller, R.J., 1988. "Stock Prices, Earnings And Expected Dividends," Papers 334, Princeton, Department of Economics - Econometric Research Program.
- John Fernald & John H. Rogers, 2002.
"Puzzles In The Chinese Stock Market,"
The Review of Economics and Statistics, MIT Press, vol. 84(3), pages 416-432, August.
- John G. Fernald & John H. Rogers, 1998. "Puzzles in the Chinese stock market," International Finance Discussion Papers 619, Board of Governors of the Federal Reserve System (U.S.).
- John G. Fernald & John H. Rogers, 2000. "Puzzles in the Chinese stock market," Working Paper Series WP-00-13, Federal Reserve Bank of Chicago.
- Shleifer, Andrei & Vishny, Robert W, 1997.
"The Limits of Arbitrage,"
Journal of Finance, American Finance Association, vol. 52(1), pages 35-55, March.
- Andrei Shleifer & Robert W. Vishny, 1995. "The Limits of Arbitrage," NBER Working Papers 5167, National Bureau of Economic Research, Inc.
- Andrei Shleifer ad Robert W. Vishny, 1995. "The Limits of Arbitrage," Harvard Institute of Economic Research Working Papers 1725, Harvard - Institute of Economic Research.
- Mankiw, N Gregory & Shapiro, Matthew D, 1986.
"Risk and Return: Consumption Beta versus Market Beta,"
The Review of Economics and Statistics, MIT Press, vol. 68(3), pages 452-459, August.
- Matthew D. Shapiro & N. Gregory Mankiw, 1985. "Risk and Return: Consumption Beta Versus Market Beta," Cowles Foundation Discussion Papers 738, Cowles Foundation for Research in Economics, Yale University.
- Andy C. W. Chui & Chuck C. Y. Kwok, 1998. "Cross-Autocorrelation Between A Shares And B Shares In The Chinese Stock Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(3), pages 333-353, September.
- Gordon, Roger H. & Li, Wei, 2003.
"Government as a discriminating monopolist in the financial market: the case of China,"
Journal of Public Economics, Elsevier, vol. 87(2), pages 283-312, February.
- Roger H. Gordon & Wei Li, 1999. "Government as a Discriminating Monopolist in the Financial Market: The Case of China," NBER Working Papers 7110, National Bureau of Economic Research, Inc.
- Daniel, Kent & Titman, Sheridan, 1997.
"Evidence on the Characteristics of Cross Sectional Variation in Stock Returns,"
Journal of Finance, American Finance Association, vol. 52(1), pages 1-33, March.
- Kent Daniel & Sheridan Titman, 1996. "Evidence on the Characteristics of Cross Sectional Variation in Stock Returns," NBER Working Papers 5604, National Bureau of Economic Research, Inc.
- Gikas Hardouvelis & Rafael La Porta & Thierry A. Wizman, 1994.
"What Moves the Discount on Country Equity Funds?,"
NBER Chapters, in: The Internationalization of Equity Markets, pages 345-403,
National Bureau of Economic Research, Inc.
- Gikas A. Hardouvelis & Rafael La Porta & Thierry A. Wizman, 1993. "What moves the discount on country equity funds?," Research Paper 9324, Federal Reserve Bank of New York.
- Gikas A. Hardouvelis & Rafael La Porta & Thierry A. Wizman, 1993. "What Moves the Discount on Country Equity Funds?," NBER Working Papers 4571, National Bureau of Economic Research, Inc.
- Susanto Basu & David D. Li, 1996. "Corruption and Reform," William Davidson Institute Working Papers Series 55, William Davidson Institute at the University of Michigan.
- Xiaonian Xu & Yan Wang, 1997. "Ownership structure, corporate governance, and corporate performance : the case of Chinese stock companies," Policy Research Working Paper Series 1794, The World Bank.
- Stulz, Rene M & Wasserfallen, Walter, 1995. "Foreign Equity Investment Restrictions, Capital Flight, and Shareholder Wealth Maximization: Theory and Evidence," Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 1019-1057.
- Chui, Andy C W & Kwok, Chuck C Y, 1998. "Cross-Autocorrelation between A Shares and B Shares in the Chinese Stock Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(3), pages 333-353, Fall.
- Bailey, Warren, 1994. "Risk and return on China's new stock markets: Some preliminary evidence," Pacific-Basin Finance Journal, Elsevier, vol. 2(2-3), pages 243-260, May.
- K. Geert Rouwenhorst, 1999.
"Local Return Factors and Turnover in Emerging Stock Markets,"
Journal of Finance, American Finance Association, vol. 54(4), pages 1439-1464, August.
- K. Rouwenhorst, 1998. "Local Return Factors and Turnover in Emerging Stock Markets," Yale School of Management Working Papers ysm97, Yale School of Management, revised 01 Mar 2001.
- Su, Dongwei & Fleisher, Belton M., 1999. "An empirical investigation of underpricing in Chinese IPOs," Pacific-Basin Finance Journal, Elsevier, vol. 7(2), pages 173-202, May.
- Bailey, Warren & Jagtiani, Julapa, 1994. "Foreign ownership restrictions and stock prices in the Thai capital market," Journal of Financial Economics, Elsevier, vol. 36(1), pages 57-87, August.
- La Porta, Rafael, 1996. "Expectations and the Cross-Section of Stock Returns," Journal of Finance, American Finance Association, vol. 51(5), pages 1715-1742, December.
- Claessens, Stijn & Dasgupta, Susmita & Glen, Jack, 1995. "The cross-section of stock returns : evidence from emerging markets," Policy Research Working Paper Series 1505, The World Bank.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Jie Zhu, 2008. "Testing for Expected Return and Market Price of Risk in Chinese A-B Share Market: A Geometric Brownian Motion and Multivariate GARCH Model Approach," CREATES Research Papers 2008-15, Department of Economics and Business Economics, Aarhus University.
- Bae, Sung C. & Li, Mingsheng & Shi, Jing, 2009. "Does the law of one price hold better under a flexible exchange rate system?," Journal of Multinational Financial Management, Elsevier, vol. 19(4), pages 306-322, October.
- Wang, Steven Shuye & Jiang, Li, 2004. "Location of trade, ownership restrictions, and market illiquidity: Examining Chinese A- and H-shares," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1273-1297, June.
- Zhu, Jie, 2009. "Testing for expected return and market price of risk in Chinese A and B share markets: A geometric Brownian motion and multivariate GARCH model approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2633-2653.
- Jung, Chan Shik & Lee, Dong Wook & Park, Kyung Suh, 2009. "Can investor heterogeneity be used to explain the cross-section of average stock returns in emerging markets?," Journal of International Money and Finance, Elsevier, vol. 28(4), pages 648-670, June.
- Gagnon, Louis & Andrew Karolyi, G., 2010.
"Multi-market trading and arbitrage,"
Journal of Financial Economics, Elsevier, vol. 97(1), pages 53-80, July.
- Gagnon, Louis & Karolyi, G. Andrew, 2004. "Multi-market Trading and Arbitrage," Working Paper Series 2004-9, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Yang, Ting & Lau, Sie Ting, 2005. "U.S. cross-listing and China's B-share discount," Journal of Multinational Financial Management, Elsevier, vol. 15(4-5), pages 334-353, October.
- Darrat, Ali F. & Gilley, Otis & Wu, Yanhui & Zhong, Maosen, 2010. "On the Chinese B-share price discount puzzle: Some new evidence," Journal of Business Research, Elsevier, vol. 63(8), pages 895-902, August.
- Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
- Kwame Addae-Dapaah & James Webb & Kim Ho & Yan Tan, 2010. "Industrial Real Estate Investment: Does the Contrarian Strategy Work?," The Journal of Real Estate Finance and Economics, Springer, vol. 41(2), pages 193-227, August.
- Gordon, Roger H. & Li, Wei, 2003.
"Government as a discriminating monopolist in the financial market: the case of China,"
Journal of Public Economics, Elsevier, vol. 87(2), pages 283-312, February.
- Roger H. Gordon & Wei Li, 1999. "Government as a Discriminating Monopolist in the Financial Market: The Case of China," NBER Working Papers 7110, National Bureau of Economic Research, Inc.
- Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
- Tong, Wilson H.S. & Yu, Wayne W., 2012. "A corporate governance explanation of the A-B share discount in China," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 125-147.
- Chunxin Jia & Yaping Wang & Wei Xiong, 2015. "Social Trust and Differential Reactions of Local and Foreign Investors to Public News," NBER Working Papers 21075, National Bureau of Economic Research, Inc.
- Wu, Ming & Ohk, Kiyool & Ko, Kwangsoo, 2019. "Are cash-flow betas really bad? Evidence from the Greater Chinese stock markets," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 58-68.
- David Hirshleifer & Kewei Hou & Siew Hong Teoh, 2012.
"The Accrual Anomaly: Risk or Mispricing?,"
Management Science, INFORMS, vol. 58(2), pages 320-335, February.
- Hirshleifer, David & Hou, Kewei & Teoh, Siew Hong, 2006. "The Accrual Anomaly: Risk or Mispricing?," Working Paper Series 2006-3, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Hou, Kewei & Hirshleifer, David & Teoh, Siew Hong, 2007. "The Accrual Anomaly: Risk or Mispricing?," MPRA Paper 5173, University Library of Munich, Germany.
- Fernando Rubio, 2005. "Estrategias Cuantitativas De Valor Y Retornos Por Accion De Largo," Finance 0503029, University Library of Munich, Germany.
- Chakravarty, Sugato & Sarkar, Asani & Wu, Lifan, 1998.
"Information asymmetry, market segmentation and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 325-356, December.
- Sugato Chakravarty & Asani Sarkar & Lifan Wu, 1998. "Information asymmetry, market segmentation, and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares," Research Paper 9820, Federal Reserve Bank of New York.
- Y. Bai & W. M. Tang & K. F. C. Yiu, 2019. "Analysis of Price Differences Between A and H Shares," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(4), pages 529-552, December.
- Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998.
"A model of investor sentiment,"
Journal of Financial Economics, Elsevier, vol. 49(3), pages 307-343, September.
- Nicholas Barberis & Andrei Shleifer & Robert W. Vishny, 1997. "A Model of Investor Sentiment," NBER Working Papers 5926, National Bureau of Economic Research, Inc.
More about this item
Keywords
China; Stock market - China;NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-1998-10-15 (Financial Markets)
- NEP-IFN-1998-10-15 (International Finance)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedgif:619. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: https://edirc.repec.org/data/frbgvus.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.