Adcock, C., Ye, C., Yin, S. et al. (1 more author) (2023) Are Chinese B-shares dead? An analysis of price limits on AB-shares on the Shanghai and Shenzhen Stock Exchanges. International Review of Economics & Finance, 85. pp. 306-315. ISSN 1059-0560
Abstract
Firms listed on the Shanghai and Shenzhen Stock Exchanges can simultaneously issue two types of shares: A and B-shares, subject to the same price limits. After July 2003, both Chinese citizens and Qualified Foreign Institutional Investors (QFIIs) were able to trade both A and B-shares in China. Following this regulatory change, some media posts predict that B-share markets will cease to exist in the future. However, are B-shares really dead? Are there no differences at all between these two markets today? In this paper, we will try to answer this question by analysing these two markets with the perspective of price limit efficacy. The rationale behind price limits is to provide investors with a cooling-off period to counter noise trading and alleviate market panic. By applying a truncated-GARCH model that explicitly incorporates the truncation in the distribution of returns that is induced by price limits, we investigate whether price limits have the same effects on price behaviour and volatility on different types of share. In general, A and B-shares enjoy a quite similar pattern in regards to volatility spillover. However, B-shares tend to have more upper price reversal and lower price continuation. This suggests price limits work more efficiently in the B-share market.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2023 The Authors. This is an Open Access article distributed under the terms of the Creative Commons Attribution Licence (https://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. |
Keywords: | Truncated-GARCH; Chinese AB shares; B-Shares; Price limits; Price continuation; Volatilities |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Management School (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 10 Feb 2023 10:42 |
Last Modified: | 10 Feb 2023 10:42 |
Status: | Published |
Publisher: | Elsevier |
Refereed: | Yes |
Identification Number: | 10.1016/j.iref.2023.01.012 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:196196 |