Risk-sharing, market imperfections, asset prices: Evidence from China's stock market liberalization

被引：47

作者：

Chan, Marc K. ^{[1
]}

Kwok, Simon ^{[2
]}

机构：

[1] Univ Melbourne, Fac Business & Econ, Parkville, Vic 3010, Australia

[2] Univ Sydney, Sch Econ, Merewether Bldg, Sydney, NSW 2006, Australia

来源：

JOURNAL OF BANKING & FINANCE | 2017年 / 84卷

关键词：

Stock market liberalization; Chinese reform; Risk-sharing; Market imperfections; Asset pricing; CAPITAL ACCOUNT LIBERALIZATION; EMERGING EQUITY MARKETS; H-SHARES; EFFICIENCY;

D O I：

10.1016/j.jbankfin.2017.06.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the roles of risk-sharing and other factors in stock price revaluation during a recent liberalization episode in China. Consistent with the theoretical prediction that liberalizations reduce systematic risk, we find that risk-sharing explains approximately one-fourth of the price revaluation of investible stocks during the eight-month window between reform announcement and implementation. The firm specific information generated by the reform is more efficiently priced into stocks that have a higher degree of market liquidity, information transparency, and informed trading. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：166 / 187

页数：22

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