Title
Asset pricing in segmented capital markets : preliminary evidence from China-domiciled companies
Document Type
Journal article
Source Publication
Pacific Basin Finance Journal
Publication Date
1-1-1998
Volume
6
Issue
3/4
First Page
307
Last Page
319
Publisher
Elsevier BV
Keywords
Chinese financial markets, International asset pricing, Market segmentation
Abstract
A number of Chinese companies have issued shares to investors within China (A shares) and issued shares to foreign investors (B, H, and N shares). All these shares have equal rights although A shares can only be sold to, and traded among, PRC citizens and B, H, and N shares can only be issued to, and traded among, foreign investors. The paper examines the impact of the initial listing of B-share issues on the prices of already listed A shares. Our analyses test the joint characteristics of market segmentation and seasoned equity offerings. We find that the abnormal returns on A-share companies that also offer B shares are significantly negative, a result consistent with the hypothesis that the demand curve for equity shares is downward sloping. Interestingly, these negative abnormal returns can be explained by our proxies for the investor recognition theory of Merton (1987) and the liquidity theory of Amihud and Mendelson (1986).
DOI
10.1016/S0927-538X(98)00015-8
Print ISSN
0927538X
Publisher Statement
Copyright © 1998 Elsevier Science B.V.
Access to external full text or publisher's version may require subscription.
Full-text Version
Publisher’s Version
Language
English
Recommended Citation
Poon, W. P. H., Firth, M., & Fung, H.-G. (1998). Asset pricing in segmented capital markets: Preliminary evidence from China-domiciled companies. Pacific Basin Finance Journal, 6(3/4), 307-319. doi: 10.1016/S0927-538X(98)00015-8
