Margin Trading, Market Segmentation and Equity Premium: Evidence from AH Shares

被引：0

作者：

Wang Chun-lan ^{[1
]}

Ye Qiang ^{[1
]}

Wang Mo-han ^{[2
]}

机构：

[1] Harbin Inst Technol, Sch Management, Harbin 150001, Heilongjiang, Peoples R China

[2] Soochow Univ, Sch Management, Suzhou 215000, Peoples R China

来源：

2018 25TH ANNUAL INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING | 2018年

关键词：

Exchange expectation; Margin trading; Premium of AH shares; SH/SZ-HK stock market connection; PRICE EFFICIENCY; SHORT-SALES; CONSTRAINTS;

D O I：

暂无

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

AH shares in the Chinese stock market are suitable for conducting a natural experiment to study how market segmentation affects performance of stocks. Using the daily data for 49 companies during the period from 2007 to 2017, we examine the premium of AH shares and the impact of factors including margin trading, market connection and exchange expectation on it. Our results demonstrate that margin trading lowers the premium of AH shares, while after SH/SZ-HK Stock market connected, the premium of AH shares rises with controlling for the market factors. The results provide some implications for portfolio management.

引用

页码：275 / 279

页数：5

共 50 条

[1] Equity Risk Premium Puzzle: Evidence from Chinese Stock Market
Chen Zhisong
Zheng Tianyu
[J]. RECENT ADVANCE IN STATISTICS APPLICATION AND RELATED AREAS, PTS 1 AND 2, 2011, : 362 - +
[2] Financial market design and the equity premium: Electronic versus floor trading
Jain, PK
[J]. JOURNAL OF FINANCE, 2005, 60 (06): : 2955 - 2985
[3] Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options
Muravyev, Dmitriy
Pearson, Neil D.
Pollet, Joshua M.
[J]. JOURNAL OF FINANCE, 2022, 77 (03): : 1787 - 1828
[4] Investor heterogeneity, market segmentation, leverage and the equity premium puzzle
Ebrahim, MS
Mathur, I
[J]. JOURNAL OF BANKING & FINANCE, 2001, 25 (10) : 1897 - 1919
[5] Habit Formation, Equity Premium and the Evidence of Chinese Market
Gao, Yuan-jing
Wang, Yuan-chang
[J]. ADVANCED MANUFACTURING TECHNOLOGY, PTS 1-4, 2012, 472-475 : 3134 - +
[6] Equity overvaluation, insider trading activity, and M&A premium: Evidence from China
Zhang, Yongshen
Zhang, Qing
Yu, Xiaoliang
Ma, Qiushu
[J]. PACIFIC-BASIN FINANCE JOURNAL, 2023, 80
[7] Market Segmentation and Share Price Premium: Evidence from Chinese Stock Markets
Chan, Kalok
Kwok, Johnny K. H.
[J]. JOURNAL OF EMERGING MARKET FINANCE, 2005, 4 (01) : 43 - 61
[8] Foreign competition for shares and the pricing of information asymmetry: Evidence from equity market liberalization
Balakrishnan, Karthik
Vashishtha, Rahul
Verrecchia, Robert E.
[J]. JOURNAL OF ACCOUNTING & ECONOMICS, 2019, 67 (01): : 80 - 97
[9] Market incompleteness and the equity premium puzzle: Evidence from state-level data
Jacobs, Kris
Pallage, Stephane
Robe, Michel A.
[J]. JOURNAL OF BANKING & FINANCE, 2013, 37 (02) : 378 - 388
[10] Negative Market Volatility Risk Premium: Evidence from the LIFFE Equity Index Options
Lin, Bing-Huei
Chen, Yin-Jung
[J]. ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, 2009, 38 (05) : 773 - 800

← 1 2 3 4 5 →