Return Characteristics of State-owned and Non-state-owned Chinese A Shares
Michael J. Seiler
Hawaii Pacific University - Department of Finance
Texas Tech University
Pepijn P. Van der Vliet
affiliation not provided to SSRN
Kit Ching Yeung
Financial Review, Vol. 40, No. 4, November 2005
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, G18Accepted Paper Series
Date posted: August 30, 2005
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo4 in 0.297 seconds