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Speculative Trading and Stock Prices
Jianping Mei
其他書名
An Analysis of Chinese A-B Share Premia
出版
SSRN
, 2010
URL
http://books.google.com.hk/books?id=ht_BzgEACAAJ&hl=&source=gbs_api
註釋
China s stock markets, with stringent short-sales constraints, dominance of inexperienced individual investors, a small asset float and heavy share turnover (500% per year despite a high transaction cost), provide a unique opportunity to study non-fundamental components in stock prices. In particular, several dozen Chinese firms offered two classes of shares: class A, which could only be held by domestic investors, and class B, which could only be traded by foreigners. Despite their identical rights, A-share prices were on average 420% higher than the corresponding B shares. By exploring several differentmodel specifications, we find that the turnover rate of A shares is able to explain a large portion of the cross-sectional variation in A-B share premium. Our further analysis of the relationship between asset float and share turnover shows that trading in A-share markets is more likely to be driven by speculation than by liquidity factors. Our resultsare robust after controlling for the effects of liquidity, discount rates, and differential risk and demand curves by local and foreign investors.