Stock Prices in a Speculative Market: The Chinese Split-Share Reform
49 Pages Posted: 12 Mar 2009
Date Written: February 18, 2009
Abstract
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.
Keywords: Speculation, Chinese Stock Market, Market segmentation, Event study, Market Efficiency
JEL Classification: G14, N25
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Investor Sentiment and the Cross-Section of Stock Returns
By Malcolm P. Baker and Jeffrey Wurgler
-
Investor Sentiment and the Cross-Section of Stock Returns
By Malcolm P. Baker and Jeffrey Wurgler
-
Investor Sentiment and the Cross-Section of Stock Returns
By Malcolm P. Baker and Jeffrey Wurgler
-
Investor Sentiment and the Cross-Section of Stock Returns
By Malcolm P. Baker and Jeffrey Wurgler
-
Investor Sentiment and the Cross-Section of Stock Returns
By Malcolm P. Baker and Jeffrey Wurgler
-
How Does Investor Sentiment Affect the Cross-Section of Stock Returns?
By John Wang, Jeffrey Wurgler, ...
-
Market Liquidity as a Sentiment Indicator
By Malcolm P. Baker and Jeremy C. Stein
-
Market Liquidity as a Sentiment Indicator
By Malcolm P. Baker and Jeremy C. Stein
-
Investor Sentiment in the Stock Market
By Malcolm P. Baker and Jeffrey Wurgler
-
Investor Sentiment in the Stock Market
By Malcolm P. Baker and Jeffrey Wurgler