| dc.contributor.author | Ahlgren, Niklas | |
| dc.contributor.author | Sjö, Bo | |
| dc.contributor.author | Zhang, Jianhua | |
| dc.date.accessioned | 2008-04-21T14:08:27Z | |
| dc.date.available | 2008-04-21T14:08:27Z | |
| dc.date.issued | 2008-04-21T14:08:27Z | |
| dc.identifier.issn | 1403-2465 | |
| dc.identifier.uri | http://hdl.handle.net/2077/9996 | |
| dc.description.abstract | In this paper we study market segmentation and information flows in China's stock markets. By using panel data methods we test for a unit root in the price premium of domestic investors' A shares over foreign investors' B shares as well as cointegration between the prices of the A and B shares on the Shanghai and Shenzhen stock exchanges.
We find that the A-share premia are nonstationary and the A- and
B-share prices are not cointegrated up till January 2001. After February 2001, when domestic investors were allowed to trade B shares, the A-share premia become stationary and the A- and B-share prices cointegrated. Our findings suggest that the relaxation of the investment restrictions decreased the information asymmetry betwen the A- and B-share markets in China. | en |
| dc.language.iso | eng | en |
| dc.relation.ispartofseries | Working Papers in Economics | en |
| dc.relation.ispartofseries | 300 | en |
| dc.subject | Chinese A and B shares | en |
| dc.subject | Market segmentation | en |
| dc.subject | Information flow | en |
| dc.subject | Panel unit root and cointegration tests | en |
| dc.title | Panel Cointegration of Chinese A and B Shares | en |
| dc.type | Text | en |
| dc.type.svep | report | en |
| dc.gup.origin | University of Gothenburg. School of Business, Economics and Law | en |
| dc.gup.department | Department of Economics | en |
