Panel Cointegration of Chinese A and B Shares
This paper uses panel unit root and cointegration methods to test the stationarity of the premium on domestic investors’ A shares over foreign investors’ B shares and cointegration between the A and B share prices on the Chinese stock exchanges. We find that the A share price premium is nonstationary until 2001, when the A and B share markets were partially merged, and that the A and B share prices are cointegrated in the panel.Cointegration is more likely to be found for firms in the service sector and for firms that issued B shares recently.
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|Date of creation:||31 Dec 2003|
|Note:||This paper is published as: Ahlgren, Niklas, Sjö, Bo and Zhang, Jianhua, 'Panel Cointegration of Chinese A and B Shares', Applied Financial Economics, 19, 1859-1871.|
|Contact details of provider:|| Postal: Hanken School of Economics, Arkadiankatu 22, P.O.B. 479; FIN 00101 Helsinki, Finland|
Phone: +358-9-431 331
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