https://scholars.lib.ntu.edu.tw/handle/123456789/414612
Title: | Stock returns and volatility under market segmentation: The case of Chinese A and B shares | Authors: | Yeh, Yin Hua TSUN-SIOU LEE Pen, Jen Fu |
Keywords: | A shares | B shares | China stock markets | Market segmentation | Positive feedback behavior | Issue Date: | 1-Jan-2002 | Journal Volume: | 18 | Journal Issue: | 3 | Start page/Pages: | 239 | Source: | Review of Quantitative Finance and Accounting | Abstract: | In most countries where firms list separate shares for trading by foreign and domestic investors, the prices of the foreign shares tend to be higher. In China, the reverse tends to be true. In this paper, we would like to focus on the information content in lagged premiums of Chinese A over B traded shares. The lagged premiums are found to have certain predictive power over the future returns and volatility of both A and B shares, with some interesting patterns. Specifically, an increase in the premium ratio of A shares will be followed by a rise in the return of A shares and a fall in the return of B shares. It is found that both of the investors in Chinese A- and B-share markets reveal positive feedback trading behavior. Moreover, the liquidity and information availability will affect the magnitude of such behavior especially in B-share markets. By using multivariate GARCH model, it is also demonstrated that the unexpected changes in the premium ratio of A-share price over B-share price contribute to the return volatility of both A shares and B shares. These patterns may provide foundations for the development of pricing models for equity shares under market segmentation. © 2002 Kluwer Academic Publishers. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414612 | ISSN: | 0924865X | DOI: | https://api.elsevier.com/content/abstract/scopus_id/34447510167 10.1023/A:1015388201113 |
Appears in Collections: | 財務金融學系 |
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