Valuation effect of capital account liberalization: Evidence from the Chinese stock market

被引：11

作者：

Ding, Haoyuan ^{[1
]}

Jin, Yuying ^{[1
]}

Koedijk, Kees G. ^{[1
,2
,3
]}

Wang, Yunjin ^{[1
]}

机构：

[1] Shanghai Univ Finance & Econ, Coll Business, 777 Guoding Rd, Shanghai, Peoples R China

[2] Tilburg Univ, Tilburg, Netherlands

[3] Ctr Econ Policy Res, Shanghai, Peoples R China

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2020年 / 107卷

基金：

中国国家自然科学基金;

关键词：

Capital account liberalization; Financing constraints; RQFII; Market response; China; CASH FLOW SENSITIVITIES; FINANCIAL CONSTRAINTS; GROWTH;

D O I：

10.1016/j.jimonfin.2020.102208

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines the valuation effect of capital account liberalization. Using an event study approach and the policy announcement for RMB Qualified Foreign Institutional Investors (short for RQFII) as the event date, we find that overall, the stock market responded positively to the capital account liberalization announcement. In addition, we provide some heterogeneity that firms with more stringent financing constraints earn higher returns than their counterparts. Finally, existing local institutions play an important role in determining announcement returns. (C) 2020 Elsevier Ltd. All rights reserved.

引用

页数：8

共 50 条

[1] Impact of capital account liberalization on stock market crashes
Khalid, Rizwan
Shehzad, Choudhry Tanveer
Naqvi, Bushra
[J]. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2023, 28 (04) : 3700 - 3726
[2] Stock market liberalization and liquidity Firm level evidence from the Chinese market
Huang, Wei
[J]. FINANCIAL SECTOR REFORM AND THE INTERNATIONAL INTEGRATION OF CHINA, 2009, : 51 - 67
[3] The effect of the liberalization of the Chinese stock market on returns
Zemel, Michelle
Zhang, Tianrong
[J]. APPLIED ECONOMICS LETTERS, 2019, 26 (12) : 1013 - 1019
[4] Does market timing persistently affect capital structure? Evidence from stock market liberalization
Huang, I-Hsiang
[J]. PACIFIC-BASIN FINANCE JOURNAL, 2014, 26 : 123 - 144
[5] A MODEL OF CHINESE CAPITAL ACCOUNT LIBERALIZATION
He, Dong
Luk, Paul
[J]. MACROECONOMIC DYNAMICS, 2017, 21 (08) : 1902 - 1934
[6] Liberalization of Capital Account with Chinese Characteristics
[J]. China & World Economy, 2001, (05) : 28 - 32
[7] Capital market liberalization and systemic risk of non-financial firms: Evidence from Chinese Stock Connect scheme
Li, Xiao-Lin
Li, Haofei
Ge, Xinyu
Si, Deng-Kui
[J]. PACIFIC-BASIN FINANCE JOURNAL, 2023, 82
[8] Capital account liberalization and inflation:: evidence from Brazil
de Mendonca, Helder Ferreira
de Castro Pires, Manoel Carlos
[J]. APPLIED ECONOMICS LETTERS, 2007, 14 (7-9) : 483 - 487
[9] Information asymmetry and capital structure: Evidence from the Chinese stock market
Ho, Kung-Cheng
Gong, Yujing
[J]. INTERNATIONAL FINANCE, 2022, 25 (01) : 84 - 102
[10] Accruals Quality and Cost of Capital: Evidence from the Chinese Stock Market
Hong, Philip K.
Ma, Tao
Zhang, Guochang
[J]. JOURNAL OF INTERNATIONAL ACCOUNTING RESEARCH, 2019, 18 (01) : 71 - 95

← 1 2 3 4 5 →