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Hanken School of Economics Working Papers, Hanken School of Economics

No 500:
Panel Cointegration of Chinese A and B Shares

Niklas Ahlgren (), Boo Sjöö () and Jianhua Zhang

Abstract: This paper uses panel unit root and cointegration methods to test the stationarity of the premium on domestic investors’ A shares over foreign investors’ B shares and cointegration between the A and B share prices on the Chinese stock exchanges. We find that the A share price premium is nonstationary until 2001, when the A and B share markets were partially merged, and that the A and B share prices are cointegrated in the panel.Cointegration is more likely to be found for firms in the service sector and for firms that issued B shares recently.

Keywords: Chinese A and B shares; Cointegration; Information diffusion; Panel data; Segmentation; Unit root; (follow links to similar papers)

18 pages, December 31, 2003

This paper is published as: Ahlgren, Niklas, Sjö, Bo and Zhang, Jianhua, 'Panel Cointegration of Chinese A and B Shares', Applied Financial Economics, 19, 1859-1871.

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