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Title:Stock prices in a speculative market: The Chinese split-share reform PDF Logo
Authors:Beltratti, Andrea
Bortolotti, Bernardo
Caccavaio, Marianna
Issue Date:2009
Series/Report no.:Nota di lavoro // Fondazione Eni Enrico Mattei: Institutions and markets 15.2009
Abstract: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.
Subjects:Speculation
Chinese Stock Market
Market segmentation
Event study
Market Efficiency
JEL:G14
N25
Document Type:Working Paper
Appears in Collections:FEEM Working Papers, Fondazione Eni Enrico Mattei

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