Abstract
A and B shares exist in the Chinese stock markets. A shareholders are domestic investors and B shareholders are foreign investors. During the early-and mid-1990s, B shares were traded at a discount relative to A shares, and B-share returns were higher than A-share returns. It is found that B-share market has persistent higher bid-ask spreads than the A-share market and traders in the B-share market bear higher informed trading and other transaction costs. In addition, the higher volatility of B-share returns can be attributed to the higher market making costs in the B-share market.
Keywords
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsReferences
Chordia, T., Roll, R., and Subrahmanyam, A. (2002). “Order imbalance, liquidity, and market returns.” Journal of Financial Economics, 65: 111–131.
Chui, A. and Kwok, C. (1998). “Cross-autocorrelation between A shares and B shares in the Chinese Stock Market.” Journal of Financial Research, 21: 333–354.
Easley, D., Kiefer, N., O’Hara, M., and Paperman, J. (1996). “Liquidity, information, and infrequently traded stocks.” Journal of Finance, 51: 1405–1436.
Green, C.J., Maggioni, P., and Murinde, V. (2000). “Regulatory lessons for emerging stock markets from a century of evidence on transactions costs and share price volatility in the London Stock Exchange.” Journal of Banking and Finance, 24: 577–601.
He, Y., Wu, C., and Chen, Y.-M. (2003). “An explanation of the volatility disparity between the domestic and foreign shares in the Chinese Stock Markets.” International Review of Economics and Finance, 12: 171–186.
Kyle, A. (1985). “Continuous auctions and insider trading.” Econometrica, 53: 1315–1335.
Lee, C.F., Chen, G., and Rui, O.M. (2001). “Stock returns and volatility on China’s stock markets.” The Journal of Financial Research, 24: 523–544.
Su, D. (1999). “Ownership restrictions and stock prices: evidence from Chinese markets.” Financial Review, 34: 37–56.
Su, D. and Fleisher, B.M. (1999). “Why does return volatility differ in Chinese stock markets?” Pacific-Basin Finance Journal, 7: 557–586.
Sun, Q. and Tong, W. (2000). “The effect of market segmentation on stock prices: the China syndrome.” Journal of Banking and Finance, 24: 1875–1902.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2006 Springer Science+Business Media, Inc.
About this entry
Cite this entry
He, Y. (2006). Chinese A and B shares. In: Lee, CF., Lee, A.C. (eds) Encyclopedia of Finance. Springer, Boston, MA. https://doi.org/10.1007/978-0-387-26336-6_41
Download citation
DOI: https://doi.org/10.1007/978-0-387-26336-6_41
Publisher Name: Springer, Boston, MA
Print ISBN: 978-0-387-26284-0
Online ISBN: 978-0-387-26336-6
eBook Packages: Business and Economics