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Puzzles in the Chinese stock market

Citations

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Cited by:

  1. Li, Yuan & Ran, Jimmy, 2020. "Investor Sentiment and Stock Price Premium Validation with Siamese Twins from China," Journal of Multinational Financial Management, Elsevier, vol. 57.
  2. Boeing, Philipp & Mueller, Elisabeth, 2015. "Measuring patent quality in international comparison: Index development and application to China," ZEW Discussion Papers 15-051, ZEW - Leibniz Centre for European Economic Research.
  3. Bohl, Martin T. & Diesteldorf, Jeanne & Siklos, Pierre L., 2015. "The effect of index futures trading on volatility: Three markets for Chinese stocks," China Economic Review, Elsevier, vol. 34(C), pages 207-224.
  4. Pengguo Wang & Wei Huang, 2015. "The implied growth rates and country risk premium: evidence from Chinese stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 45(3), pages 641-663, October.
  5. Jianping Mei & Jose A. Scheinkman & Wei Xiong, 2009. "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 225-255, November.
  6. repec:zbw:bofitp:2020_001 is not listed on IDEAS
  7. Y. Bai & W. M. Tang & K. F. C. Yiu, 2019. "Analysis of Price Differences Between A and H Shares," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(4), pages 529-552, December.
  8. Tina T. He & Wilson X. B. Li & Gordon Y. N. Tang, 2019. "Foreign institutional investors and stock price synchronicity of Chinese listed firms: further evidence," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 9(1), pages 107-120, March.
  9. Ding, Rong & Hou, Wenxuan & Liu, Yue (Lucy) & Zhang, John Ziyang, 2018. "Media censorship and stock price: Evidence from the foreign share discount in China," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 112-133.
  10. Jie Zhu, 2019. "Estimating The Equity Risk Premium: The Case Of Greater China," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 22(2), pages 195-212, July.
  11. Alhaj-Yaseen, Yaseen S. & Barkoulas, John T. & Ouandlous, Arav, 2020. "Liberalization and asymmetric information flow dynamics in the Chinese equity markets," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
  12. Chakravarty, Sugato & Sarkar, Asani & Wu, Lifan, 1998. "Information asymmetry, market segmentation and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 325-356, December.
  13. Zhu, Jie, 2009. "Testing for expected return and market price of risk in Chinese A and B share markets: A geometric Brownian motion and multivariate GARCH model approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2633-2653.
  14. Rong, Zhao & Wu, Xiaokai & Boeing, Philipp, 2017. "The effect of institutional ownership on firm innovation: Evidence from Chinese listed firms," Research Policy, Elsevier, vol. 46(9), pages 1533-1551.
  15. Fan, Qingliang & Wang, Ting, 2017. "The impact of Shanghai–Hong Kong Stock Connect policy on A-H share price premium," Finance Research Letters, Elsevier, vol. 21(C), pages 222-227.
  16. Bohl, Martin T. & Schuppli, Michael & Siklos, Pierre L., 2010. "Stock return seasonalities and investor structure: Evidence from China's B-share markets," China Economic Review, Elsevier, vol. 21(1), pages 190-201, March.
  17. repec:zbw:bofitp:2005_014 is not listed on IDEAS
  18. Dayong Zhang & David Dickinson & Marco R. Barassi, 2006. "Structural Breaks, Cointegration and the B Share Discount in Chinese Stock Market," EcoMod2006 272100108, EcoMod.
  19. Jie Zhu, 2008. "Testing for Expected Return and Market Price of Risk in Chinese A-B Share Market: A Geometric Brownian Motion and Multivariate GARCH Model Approach," CREATES Research Papers 2008-15, Department of Economics and Business Economics, Aarhus University.
  20. Gary Gang Tian & Guang Hua Wan, 2004. "Interaction among China-related stocks: evidence from a causality test with a new procedure," Applied Financial Economics, Taylor & Francis Journals, vol. 14(1), pages 67-72.
  21. Chen, Zhimin & Ibragimov, Rustam, 2019. "One country, two systems? The heavy-tailedness of Chinese A- and H- share markets," Emerging Markets Review, Elsevier, vol. 38(C), pages 115-141.
  22. Bae, Sung C. & Li, Mingsheng & Shi, Jing, 2009. "Does the law of one price hold better under a flexible exchange rate system?," Journal of Multinational Financial Management, Elsevier, vol. 19(4), pages 306-322, October.
  23. Ji, Gang, 2005. "Cross listing and firm value : corporate governance or market segmentation? : an empirical study of the stock market," BOFIT Discussion Papers 14/2005, Bank of Finland, Institute for Economies in Transition.
  24. Doukas, John A. & Wang, Liu, 2013. "Information asymmetry, price discovery, and the Chinese B-share discount puzzle," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1116-1135.
  25. Fung, Joseph K.W. & Girardin, Eric & Hua, Jian, 2022. "How does the exchange-rate regime affect dual-listed share price parity? Evidence from China’s A- and H-share markets," Journal of International Money and Finance, Elsevier, vol. 129(C).
  26. Yang, Ting & Lau, Sie Ting, 2005. "U.S. cross-listing and China's B-share discount," Journal of Multinational Financial Management, Elsevier, vol. 15(4-5), pages 334-353, October.
  27. Wang, Zijun & Kutan, Ali M. & Yang, Jian, 2005. "Information flows within and across sectors in Chinese stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 767-780, September.
  28. Azzi, Sarah & Suchard, Jo-Ann, 2019. "Crouching tigers, hidden dragons: Private equity fund selection in China," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 236-253.
  29. Ahlgren, Niklas & Sjöö, Boo & Zhang, Jianhua, 2003. "Panel Cointegration of Chinese A and B Shares," Working Papers 500, Hanken School of Economics.
  30. Pavlidis, Efthymios G. & Vasilopoulos, Kostas, 2020. "Speculative bubbles in segmented markets: Evidence from Chinese cross-listed stocks," Journal of International Money and Finance, Elsevier, vol. 109(C).
  31. Zheng, Yao & Osmer, Eric & Zheng, Liancun, 2018. "The relative pricing of cross-listed securities: The case of Chinese A- and H-share," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 297-310.
  32. Demirer, RIza & Kutan, Ali M., 2006. "Does herding behavior exist in Chinese stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 123-142, April.
  33. Oliver D. Babson & John G. Fernald, 1999. "Why has China survived the Asian crisis so well? What risks remain?," International Finance Discussion Papers 633, Board of Governors of the Federal Reserve System (U.S.).
  34. John Fernald & John H. Rogers, 2002. "Puzzles In The Chinese Stock Market," The Review of Economics and Statistics, MIT Press, vol. 84(3), pages 416-432, August.
  35. Mike W. Peng & Sunny Li Sun & Lívia Markóczy, 2015. "Human Capital and CEO Compensation during Institutional Transitions," Journal of Management Studies, Wiley Blackwell, vol. 52(1), pages 117-147, January.
  36. Chan, Kam C. & Fung, Hung-Gay & Thapa, Samanta, 2007. "China financial research: A review and synthesis," International Review of Economics & Finance, Elsevier, vol. 16(3), pages 416-428.
  37. Sun, Yuying & Bao, Qin & Zheng, Jiali & Wang, Shouyang, 2020. "Assessing the price dynamics of onshore and offshore RMB markets: An ITS model approach," China Economic Review, Elsevier, vol. 62(C).
  38. Trien Le & Trevor Buck, 2011. "State ownership and listed firm performance: a universally negative governance relationship?," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 15(2), pages 227-248, May.
  39. Zijian Cheng & Charles P. Cullinan & Zhangxin (Frank) Liu & Junrui Zhang, 2021. "Cross‐listings and dividend size and stability: evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(1), pages 415-465, March.
  40. Charles M C Lee & Yuanyu Qu & Tao Shen, 2023. "Gate Fees: The Pervasive Effect of IPO Restrictions on Chinese Equity Markets," Review of Finance, European Finance Association, vol. 27(3), pages 809-849.
  41. Wang, Ping & Liu, Aying & Wang, Peijie, 2004. "Return and risk interactions in Chinese stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(4), pages 367-383, October.
  42. Donald Lien & Chun-Da Chen, 2020. "B-share discount puzzle in China: a revisit of dual-share firms," Review of Managerial Science, Springer, vol. 14(5), pages 1047-1075, October.
  43. Su, Dongwei & Fleisher, Belton M., 1999. "An empirical investigation of underpricing in Chinese IPOs," Pacific-Basin Finance Journal, Elsevier, vol. 7(2), pages 173-202, May.
  44. Eun, Cheol S. & Huang, Wei, 2007. "Asset pricing in China's domestic stock markets: Is there a logic?," Pacific-Basin Finance Journal, Elsevier, vol. 15(5), pages 452-480, November.
  45. Jiao, Feng & Liu, Qingfu & Tse, Yiuman & Wang, Zhiqin, 2022. "Price disparity between Chinese A- and H-shares: Dividends, currency values, and the interest rate differential," Global Finance Journal, Elsevier, vol. 53(C).
  46. Schuppli, Michael & Bohl, Martin T., 2010. "Do foreign institutional investors destabilize China's A-share markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(1), pages 36-50, February.
  47. Chung, Tsz-Kin & Hui, Cho-Hoi & Li, Ka-Fai, 2013. "Explaining share price disparity with parameter uncertainty: Evidence from Chinese A- and H-shares," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1073-1083.
  48. Deng, Yongheng & Liu, Xin & Wei, Shang-Jin, 2018. "One fundamental and two taxes: When does a Tobin tax reduce financial price volatility?," Journal of Financial Economics, Elsevier, vol. 130(3), pages 663-692.
  49. Cao, Jie & Zhan, Xintong & Zhang, Weiming & Zhang, Yaojia, 2023. "The return predictability of carbon emissions: Evidence from Hong Kong and Singapore," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
  50. Michael O'Neill & Kent Wang & Zhangxin (Frank) Liu & Tom Smith, 2016. "A State-Price Volatility Index for China's Stock Market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 56(3), pages 607-626, September.
  51. Long, Wen & Mok, Henry M.K. & Hu, Yan & Wang, Huiwen, 2009. "The style and innate structure of the stock markets in China," Pacific-Basin Finance Journal, Elsevier, vol. 17(2), pages 224-242, April.
  52. Jack Ochs & Li Qi, 2006. "Information Use and Transference," Working Paper 236, Department of Economics, University of Pittsburgh, revised Jan 2006.
  53. Chang, Eric C. & Luo, Yan & Ren, Jinjuan, 2013. "Cross-listing and pricing efficiency: The informational and anchoring role played by the reference price," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4449-4464.
  54. M. Fatih Oztek & Nadir Ocal, 2012. "Integration of China Stock Markets with International Stock Markets: An application of Smooth Transition Conditional Correlation with Double Transition Functions," ERC Working Papers 1209, ERC - Economic Research Center, Middle East Technical University, revised Dec 2012.
  55. Darrat, Ali F. & Gilley, Otis & Wu, Yanhui & Zhong, Maosen, 2010. "On the Chinese B-share price discount puzzle: Some new evidence," Journal of Business Research, Elsevier, vol. 63(8), pages 895-902, August.
  56. Chang Ma & John H. Rogers & Sili Zhou, 2019. "The Effect of the China Connect," Finance and Economics Discussion Series 2019-087, Board of Governors of the Federal Reserve System (U.S.).
  57. Shenoy, Catherine & Zhang, Ying Jenny, 2007. "Order imbalance and stock returns: Evidence from China," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(5), pages 637-650, December.
  58. Michael Schuppli & Martin T. Bohl, 2009. "Do Foreign Institutional Investors Destabilize China’s A-Share Markets?," CQE Working Papers 0909, Center for Quantitative Economics (CQE), University of Muenster.
  59. Li, Lianfa & Fleisher, Belton M., 2004. "Heterogeneous expectations and stock prices in segmented markets: application to Chinese firms," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 521-538, September.
  60. Bohl, Martin T. & Schuppli, Michael & Siklos, Pierre L., 2010. "Stock return seasonalities and investor structure: Evidence from China's B-share markets," China Economic Review, Elsevier, vol. 21(1), pages 190-201, March.
  61. Zhijun Zhao & Yue Ma & Yuhui Liu, 2005. "Equity Valuation in Mainland China and Hong Kong: The Chinese A-H Share Premium," Working Papers 142005, Hong Kong Institute for Monetary Research.
  62. John H. Cochrane, 2002. "Stocks as Money: Convenience Yield and the Tech-Stock Bubble," NBER Working Papers 8987, National Bureau of Economic Research, Inc.
  63. Cakici, Nusret & Chatterjee, Sris & Topyan, Kudret, 2015. "Decomposition of book-to-market and the cross-section of returns for Chinese shares," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 102-120.
  64. Boeing, Philipp, 2016. "The allocation and effectiveness of China’s R&D subsidies - Evidence from listed firms," Research Policy, Elsevier, vol. 45(9), pages 1774-1789.
  65. Jianping Mei & Jose Scheinkman & Wei Xiong, 2005. "Speculative Trading and Stock Prices: An Analysis of Chinese A-B Share Premia," Levine's Bibliography 122247000000000867, UCLA Department of Economics.
  66. Elshandidy, Tamer, 2014. "Value relevance of accounting information: Evidence from an emerging market," Advances in accounting, Elsevier, vol. 30(1), pages 176-186.
  67. Alan G. Ahearne & John G. Fernald & Prakash Loungani, 2001. "Countering contagion: Does China's experience offer a blueprint?," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 25(Q IV), pages 38-52.
  68. Cao, Jerry & Wang, Hanyang & Zhou, Sili, 2022. "Soft activism and corporate dividend policy: Evidence from institutional investors site visits," Journal of Corporate Finance, Elsevier, vol. 75(C).
  69. Cheng, Xu & Kong, Dongmin & Wang, Junbo, 2021. "Political uncertainty and A-H share premium," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  70. Gordon, Roger H. & Li, Wei, 2003. "Government as a discriminating monopolist in the financial market: the case of China," Journal of Public Economics, Elsevier, vol. 87(2), pages 283-312, February.
  71. Alhaj-Yaseen, Yaseen S. & Yau, Siu-Kong, 2018. "Herding tendency among investors with heterogeneous information: Evidence from China’s equity markets," Journal of Multinational Financial Management, Elsevier, vol. 47, pages 60-75.
  72. Zhengyang Bao & Kenan Kalayci & Andreas Leibbrandt & Carlos Oyarzun, 2019. "Regulating Bubbles Away?Experiment-Based Evidence of Price Limits and Trading Restrictions in Asset Markets with Deterministic and Stochastic Fundamental Values," Monash Economics Working Papers 14-18, Monash University, Department of Economics.
  73. Tong, Wilson H.S. & Yu, Wayne W., 2012. "A corporate governance explanation of the A-B share discount in China," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 125-147.
  74. Yongli Luo, 2014. "Cross-listing, managerial compensation and corporate governance," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-17, December.
  75. Chunxin Jia & Yaping Wang & Wei Xiong, 2015. "Social Trust and Differential Reactions of Local and Foreign Investors to Public News," NBER Working Papers 21075, National Bureau of Economic Research, Inc.
  76. repec:zbw:bofitp:2009_020 is not listed on IDEAS
  77. Lehkonen, Heikki, 2010. "Bubbles in China," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 113-117, March.
  78. Ahlgren, Niklas & Sjö, Bo & Zhang, Jianhua, 2008. "Panel Cointegration of Chinese A and B Shares," Working Papers in Economics 300, University of Gothenburg, Department of Economics.
  79. Hammoudeh, Shawkat & Sari, Ramazan & Uzunkaya, Mehmet & Liu, Tengdong, 2013. "The dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 277-294.
  80. Cai, Weixing & Lee, Edward & Xu, Alice Liang & Zeng, Cheng (Colin), 2019. "Does corporate social responsibility disclosure reduce the information disadvantage of foreign investors?," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 34(C), pages 12-29.
  81. Oi-Ping Chong & A.N. Bany-Ariffin & Annuar Md Nassir & Junaina Muhammad, 2019. "An Empirical Study of Herding Behaviour in China’s A-Share and B-Share Markets: Evidence of Bidirectional Herding Activities," Capital Markets Review, Malaysian Finance Association, vol. 27(2), pages 37-57.
  82. Chang Ma & John H. Rogers & Sili Zhou, 2019. "The Effect of the China Connect," Finance and Economics Discussion Series 2019-087, Board of Governors of the Federal Reserve System (U.S.).
  83. Huang, Zhangkai & Xu, Xingzhong, 2009. "Marketability, control, and the pricing of block shares," Journal of Banking & Finance, Elsevier, vol. 33(1), pages 88-97, January.
  84. Shieh, Harrison, 2024. "Can you hear me now? Identifying the effect of Chinese monetary policy announcements," Journal of International Money and Finance, Elsevier, vol. 144(C).
  85. Niklas Ahlgren & Bo Sjo & Jianhua Zhang, 2009. "Panel cointegration of Chinese A and B shares," Applied Financial Economics, Taylor & Francis Journals, vol. 19(23), pages 1859-1871.
  86. Tang, Vicki Wei, 2011. "Isolating the effect of disclosure on information risk," Journal of Accounting and Economics, Elsevier, vol. 52(1), pages 81-99, June.
  87. Rod Tyers & Jane Golley, 2006. "China's Growth to 2030: The Roles of Demographic Change and Investment Risk," ANU Working Papers in Economics and Econometrics 2006-461, Australian National University, College of Business and Economics, School of Economics.
  88. Li, Bo & Megginson, William L. & Shen, Zhe & Sun, Qian, 2019. "Privatization effect versus listing effect: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 369-394.
  89. Deng, Lu & Liao, Mingqing & Luo, Rui & Sun, Jianfei & Xu, Chen, 2021. "Does corporate social responsibility reduce share price premium? Evidence from China's A- and H-shares," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
  90. Rod Tyers & Jane Golley, 2006. "China's Growth to 2030: The Roles of Demographic Change and Investment Premia," PGDA Working Papers 1206, Program on the Global Demography of Aging.
  91. Luo, Yongli & Fang, Fang & Esqueda, Omar A., 2012. "The overseas listing puzzle: Post-IPO performance of Chinese stocks and ADRs in the U.S. market," Journal of Multinational Financial Management, Elsevier, vol. 22(5), pages 193-211.
  92. Yuan Li & Yu Zhang, 2021. "Investor Sentiment, Idiosyncratic Risk, and Stock Price Premium: Evidence From Chinese Cross-Listed Companies," SAGE Open, , vol. 11(2), pages 21582440211, June.
  93. Mehmet Fatih Öztek & Nadir Öcal, 2016. "The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets," Empirical Economics, Springer, vol. 50(2), pages 317-360, March.
  94. Wu, Qinqin & Hao, Ying & Lu, Jing, 2017. "Investor sentiment, idiosyncratic risk, and mispricing of American Depository Receipt," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 1-14.
  95. George Halkos & Argyro Zisiadou, 2020. "Is Investors’ Psychology Affected Due to a Potential Unexpected Environmental Disaster?," JRFM, MDPI, vol. 13(7), pages 1-24, July.
  96. Enrico Geretto & Rubens Pauluzzo, 2012. "Stock Exchange Markets in China: Structure and Main Problems," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 19(1), pages 89-106, September.
  97. Lan, Qiujun & Xie, Yuxuan & Mi, Xianhua & Zhang, Chunyu, 2024. "Post earnings announcement drift: A simple earnings surprise measure, the medium effect of investor attention and investing strategy," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  98. Bergstrom, Clas & Tang, Ellen, 2001. "Price differentials between different classes of stocks: an empirical study on Chinese stock markets," Journal of Multinational Financial Management, Elsevier, vol. 11(4-5), pages 407-426, December.
  99. Lin, Kuan-Pin & Menkveld, Albert J. & Yang, Zhishu, 2009. "Chinese and world equity markets: A review of the volatilities and correlations in the first fifteen years," China Economic Review, Elsevier, vol. 20(1), pages 29-45, March.
  100. Eric Girardin & Zhenya Liu, 2003. "The Chinese Stock Market: A Casino with 'Buffer Zones'?," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 1(1), pages 57-70.
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