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

页码：24 / 33

页数：10

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