中国金融学术研究网
CHINA FINANCIAL RESEARCH NETWORK

资本市场--市场微观结构
工作论文
2009-05-14 第2卷 第6期

编: 麻省理工学院斯隆管理学院金融学讲席教授,清华大学经管学院特聘教授。

执行主编: 杨之曙清华大学经济管理学院金融学副教授。


本期目录

Bear in China: Which Trades Push Down the Stock Prices?

Jinghan CAI Shenzhen Stock ExchangeNA
Hongbing OUYANG Huazhong University of Science and TechnologySchool of Economics

Market Segmentation and Stock Prices Discount in the Chinese Stock Market: Revisiting B-share discounts in the Chinese stock market

Bong-Soo Lee Florida State UniversityDepartment of Finance
Oliver Rui The Chinese University of Hong KongFaculty of Business Administration
Wenfeng Wu Shanghai Jiaotong UniversityAntai College of Economics & Management

EQUITY VALUATION IN MAINLAND CHINA AND HONG KONG: THE CHINESE A-H SHARE PREMIUM

Zhijun Zhao Chinese Academy of Social SciencesInstitute of Economics
Yue Ma Lingnan UniversityEconomics Department
Yuhui Liu Chinese Academy of Social SciencesInstitute of Finance & Banking

Stock Prices in a Speculative Market: The Chinese Split-Share Reform

Andrea Beltratti Bocconi UniversityNA
Bernardo Bortolotti Università di TorinoNA
Marianna Caccavaio Bocconi UniversityPaolo Baffi Centre

SHARE PRICE DISPARITY IN CHINESE STOCK MARKETS

Tom Fong Hong Kong Monetary AuthorityResearch Department
Alfred Wong Hong Kong Monetary AuthorityResearch Department
Ivy Yong Hong Kong Monetary AuthorityExternal Department


论文摘要

Bear in China: Which Trades Push Down the Stock Prices?

Jinghan CAI Shenzhen Stock ExchangeNA
Hongbing OUYANG Huazhong University of Science and TechnologySchool of Economics

This paper considers informed traders’ trading strategies in a bear market. Known as stealth trading, one strategy of informed traders’ is to use medium-size trades, which tend to contain more information than small- and large-size ones and thus to have stronger impact on stock price movement. Using the tick-by-tick data of Shanghai 180 Index Component Stocks, we document the strong pattern of stealth trading in Chinese stock market during the period of June 1, 2004 to May 31, 2005, which is: (1) an order-driven market; (2) a market that has limit orders only; (3) a bear market; (4) a market with no corresponding derivative market; (5) a market with short-selling constraints; (6) an emerging market. The results extend the empirical evidence on the stealth trading by documenting the fact that price movements are mainly due to the medium-size trades. We find that the pattern in a bear market is highly consistent with that in a bull market. First, we observe that the per-transaction stock price changes in different trade-size categories exhibit a clear U-shape and only the price changes induced by medium-size trades are consistent with the market movement direction. We formally test the stealth trading as well as four alternative hypotheses, and conclude that stealth trading hypothesis can correctly explain this phenomenon. Second, the evidence shows that the medium- size trades have stronger impacts on price change s in the stocks whose price movements are highly consistent with the market (in our study, it refers to those stocks with severely low cumulative return in the sample period). Third, we further document that there is strong interaction between stealth trading hypothesis and order imbalance hypothesis. However, after controlling the effect of order imbalance, the stealth trading hypothesis still holds, but the magnitude is much lower. It is suggested that the follow-up researchers take into consideration the effect of order imbalance, when confirming the existence or the magnitude of the stealth trading.

Market Segmentation and Stock Prices Discount in the Chinese Stock Market: Revisiting B-share discounts in the Chinese stock market

Bong-Soo Lee Florida State UniversityDepartment of Finance
Oliver Rui The Chinese University of Hong KongFaculty of Business Administration
Wenfeng Wu Shanghai Jiaotong UniversityAntai College of Economics & Management

This paper explores the determinants of B-share discounts in the Chinese stock market based on a unique regulatory change in 2001. We find that the B-share discounts declined substantially after the lifting of restrictions on foreign ownership in China, but the H-share discount remained virtually unchanged. Using the intraday data, we find that information flows from the B-share markets to the A-share markets increase significantly after the event, because domestic investors rush into the B-share markets. Using various cross-sectional analyses, we also find that relative supply and behavior factors such as relative spread (or liquidity) and relative risk affect the discounts throughout the sample period.

EQUITY VALUATION IN MAINLAND CHINA AND HONG KONG: THE CHINESE A-H SHARE PREMIUM

Zhijun Zhao Chinese Academy of Social SciencesInstitute of Economics
Yue Ma Lingnan UniversityEconomics Department
Yuhui Liu Chinese Academy of Social SciencesInstitute of Finance & Banking

This paper studies the links between fundamental value and market price of the companies listed in both mainland A-share and Hong Kong H-share markets. As the valuation model has been inadequately applied in the literature, this study theoretically clarifies that the dividends discount model (DDM) and it derivatives are suitable for firms, but not for general consumers and investors, to evaluate equity fundamental values. Thus, using DDM and its derivatives to determine the market price of equity, which has been done in many other studies, is problematic. This paper also empirically studies how accounting data determines fundamental values of equities using a pooled-data vector autoregressive method. It indicates that although fundamental value can be a benchmark for investors to price equity, prices of equity may deviate from fundamental values substantially for a long time due to differences in preference and the extent of risk aversion between A-shares and H-shares. Correlation between equity price and its fundamental value for H-shares is larger than the correlation for A-shares. This paper also explains why there has been a big price gaps between A-shares and H-shares with exactly the same yields rights. The estimates of fundamental value for each company help investors make rational investment decisions. It suggests that, in the long run, healthy development of Chinese securities markets will depend on the progress of privatisation and marketisation of the Chinese economy. Measures such as the Qualified Foreign Institutional Investors (QFII) and Qualified Domestic Institutional Investors (QDII) programmes should be adopted to improve the efficiency of financial resources utilisation in mainland China, despite the short-run pressure that may put on A-share markets.

Stock Prices in a Speculative Market: The Chinese Split-Share Reform

Andrea Beltratti Bocconi UniversityNA
Bernardo Bortolotti Università di TorinoNA
Marianna Caccavaio Bocconi UniversityPaolo Baffi Centre

In 2005-2006 China reformed its stock market by eliminating non-tradable shares. The regulator set general guidelines and then assigned responsibility for implementation to each company. We derive relations that should have been followed by the prices of stocks and exploit a company-level data set to compare the actual and the theoretical price reactions. We find evidence for abnormal returns both before the beginning of the reform and during the reform. Cross-sectionally, abnormal returns are associated mainly with turnover and compensation. This shows that in a speculative market, investors do not properly react to unambiguous corporate actions.

SHARE PRICE DISPARITY IN CHINESE STOCK MARKETS

Tom Fong Hong Kong Monetary AuthorityResearch Department
Alfred Wong Hong Kong Monetary AuthorityResearch Department
Ivy Yong Hong Kong Monetary AuthorityExternal Department

The presence of price disparity between A- and H- shares suggests that the two markets are segmented and thus allocation of capital is inefficient. In this paper, we attempt to identify the factors contributing to the price disparity, with a view to helping policymakers find solutions to the problem. Our results suggest that the disparity is caused by a combination of micro and macro factors. The fact that some of these factors are found to have played a crucial role in determining the disparity implies that reforms that can remove or reduce the segmentation can potentially bring considerable benefits by improving price discovery and market efficiency.


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