Stock prices in a speculative market: The Chinese split-share reform

Arbeitspapier

In 2005-2006 China reformed its stock market by eliminating non-tradable shares. The regulator set general guidelines and then assigned responsibility for implementation to each company. We derive relations that should have been followed by the prices of stocks and exploit a company-level data set to compare the actual and the theoretical price reactions. We find evidence for abnormal returns both before the beginning of the reform and during the reform. Cross-sectionally, abnormal returns are associated mainly with turnover and compensation. This shows that in a speculative market, investors do not properly react to unambiguous corporate actions.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Nota di Lavoro ; No. 15.2009

Classification and Topics

• Classification: Wirtschaft ; Information and Market Efficiency; Event Studies; Insider Trading ; Economic History: Financial Markets and Institutions: Asia including Middle East
• Subject: Speculation ; Chinese Stock Market ; Market segmentation ; Event study ; Market Efficiency

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Beltratti, Andrea ; Bortolotti, Bernardo ; Caccavaio, Marianna
• Event: Veröffentlichung
• (who): Fondazione Eni Enrico Mattei (FEEM)
• (where): Milano
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/53180
• Last update: 09.09.2193, 4:02 PM CEST