Testing for Structural Change in the Nontradable Share Reform of the Chinese Stock Market

被引：6
|
作者：
Huang, Fang [1 ]
Su, Jun [1 ]
Chong, Terence Tai-Leung [2 ]
机构：
[1] Chinese Univ Hong Kong, Dept Finance, Shatin, Hong Kong, Peoples R China
[2] Chinese Univ Hong Kong, Dept Econ, Shatin, Hong Kong, Peoples R China
来源：
CHINESE ECONOMY | 2008年 / 41卷 / 02期
关键词：
D O I：
10.2753/CES1097-1475410202
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We test for structural change in the Chinese stock-price level caused by the nontradable share (NTS) reform. Using the netof-market-trend stock-price series, we found that the NTS reform drives stock prices up in more than two-thirds of the cases. For the twenty-one-day window, the effect of the NTS reform is significant. Half of the stock prices have a shift right after readmission. It is also found that stocks with bonus-share distribution proportion between 15 percent and 20 percent are more likely to have a downward shift in price than those with other proportions.
引用
收藏
页码：24 / 33
页数：10
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