Stock Market Liberalization and Market Returns in China: Evidence from Qfii Announcement
26 Pages Posted: 4 Dec 2003
Date Written: September 30, 2003
Abstract
Stock market liberalization is a decision to allow foreign investors to purchase domestic shares. This paper is an event study on market reactions around the announcement of the Qualified Foreign Institutional Investors (QFII) scheme in China. We find no significant abnormal returns in market indices in the short-term period leading up to the announcement, negative abnormal returns in the short-term period following the announcement, and no significant abnormal returns in the long-term period thereafter. The findings do not comply with the prediction of international asset pricing models. The QFII scheme may not help much in reducing the cost of equity capital and risk premium of China companies.
Keywords: stock market liberalization, market segmentation, QFII, event study
JEL Classification: G1
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
On the Predictability of Chinese Stock Returns
By Xuanjuan Chen, Kenneth Kim, ...
-
Volatility Spillovers between Chinese and World Equity Markets
By Xiangyi Zhou, Weijin Zhang, ...
-
By Niklas Ahlgren, Boo Sjöö, ...
-
By Gyu-hyun Moon and William Yu
-
China’s Stock Market Integration with a Leading Power and a Close Neighbor
-
Investment Strategies to Exploit Economic Growth in China
By Burton G. Malkiel, Jianping Mei, ...
-
Cross-Sectional Stock Return Predictability in China
By Nusret Cakici, Kalok Chan, ...
-
Under Pricing Determinants on Government Bond Auction in Indonesia
-
By Pornsawan Evans and David G. Mcmillan