Dissecting the Long-term Performance of the Chinese Stock Market

57 Pages Posted: 5 Dec 2016 Last revised: 2 Jun 2020

See all articles by Franklin Allen

Franklin Allen

Imperial College London

Jun "QJ" Qian

Fanhai International School of Finance, Fudan University; University of Pennsylvania - Wharton Financial Institutions Center

Chenyu Shan

Shanghai University of Finance and Economics

Julie Zhu

Fanhai International School of Finance(FISF), Fudan University

Date Written: June 1, 2020

Abstract

Stock returns of domestically listed Chinese firms are lower than that of externally listed firms and listed firms from large developed and emerging countries. The performance gap, measured by net cash flows, between domestically listed and externally listed and matched unlisted Chinese firms, is greater than that between state-owned and privately-owned firms. Problematic IPO and delisting processes lead to adverse selection of firms entering and staying in the market. With much higher levels of investment compared to externally listed firms and listed firms from other large countries, China’s domestically listed firms generate lower net cash flows, implying low investment efficiency.

Keywords: Stock market, return, IPO, investment, net cash flow, related party transaction

JEL Classification: G12, G15, G3

Suggested Citation

Allen, Franklin and Qian, Jun and Shan, Chenyu and Zhu, Julie, Dissecting the Long-term Performance of the Chinese Stock Market (June 1, 2020). Available at SSRN: https://ssrn.com/abstract=2880021 or http://dx.doi.org/10.2139/ssrn.2880021

Franklin Allen

Imperial College London ( email )

South Kensington Campus
Exhibition Road
London, Greater London SW7 2AZ
United Kingdom

Jun Qian

Fanhai International School of Finance, Fudan University ( email )

Shanghai
China
86-21-63895501 (Phone)
86-21-62934572 (Fax)

HOME PAGE: http://www.fisf.fudan.edu.cn/show-65-69.html

University of Pennsylvania - Wharton Financial Institutions Center

2306 Steinberg Hall-Dietrich Hall
Philadelphia, PA 19104
United States

HOME PAGE: http://fic.wharton.upenn.edu/fic/

Chenyu Shan (Contact Author)

Shanghai University of Finance and Economics ( email )

100 Wudong Road
Shanghai
China

Julie Zhu

Fanhai International School of Finance(FISF), Fudan University ( email )

220 Handan Road
Shanghai, 200433
China

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