Studies on China's segmented stock markets

Abstract

This thesis studies two topics relatively unexplored on Chinaa??s segmented A and B-share markets. One topic is regarding reaction to regulatory changes and policy adjustments. I find some asymmetric market responses to certain categories of regulatory events in the segmented A and B-share markets and a stronger spillover effect of regulatory impacts from the A-share markets to the B-share markets. The overall results indicate that foreign B-share investors are more sensitive to the regulatory changes and have some information advantages. Another topic addresses the impacts of Chinaa??s domestic dual listings on valuation and liquidity. I uncover utterly different responses in the A and B-share markets. After dual listings on the B-share markets, the corresponding A-share prices decrease persistently while upon A-share dual listing announcements the corresponding B-share prices increase statistically significantly but transiently. Liquidity effects are also found to be different, negative for existing A-shares but positive for existing B-shares.