Return Characteristics of State-owned and Non-state-owned Chinese A Shares

Abstract:     
This study examines and compares stock returns and volatilities between state-owned and non-stateowned firms on the Shanghai and Shenzhen stock exchanges. Results vary significantly by exchange. Returns for both firm types, on both exchanges, exhibit negative skewness and high kurtosis inconsistent with a normal distribution. Returns display significant autocorrelation, even after the removal of lower order effects. Granger causality tests reveal that Shenzhen returns significantly lead Shanghai returns. Within both exchanges, state-owned firms lead non-state-owned firms. Neither state-owned nor non-stateowned firm shares are dominated in terms of second order stochastic dominance.

Keywords: state-owned enterprise, Chinese stock market

JEL Classification: G14, G15, G18

Accepted Paper Series