Working Papers, Hanken School of Economics
Panel Cointegration of Chinese A and B Shares
(), 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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