{"title":"Changes in market segmentation and the flow of information: Some evidence from China","authors":"Lin Zheng","doi":"10.1016/j.rdf.2013.11.002","DOIUrl":null,"url":null,"abstract":"<div><p>I study market behavior around earnings releases for Chinese stocks, emphasizing the opening of the B share market to PRC investors on February 19th 2001. Before then, abnormal pre-announcement trading volume in the A share market (restricted to locals) suggests inside information, while announcement period return and volume responses suggest “disagreement” in B and H share trading (restricted to foreigners). After that, B share market behavior more closely resembles A share trading. Similar changes are not observed in a “control”, the H share market, which remains closed to PRC investors. There is little evidence that the change in pre-announcement activity in the B share market affects relative B and A prices or reflects superior information about corporate performance.</p></div>","PeriodicalId":39052,"journal":{"name":"Review of Development Finance","volume":"3 4","pages":"Pages 180-191"},"PeriodicalIF":0.7000,"publicationDate":"2013-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.rdf.2013.11.002","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Review of Development Finance","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1879933713000420","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 1
Abstract
I study market behavior around earnings releases for Chinese stocks, emphasizing the opening of the B share market to PRC investors on February 19th 2001. Before then, abnormal pre-announcement trading volume in the A share market (restricted to locals) suggests inside information, while announcement period return and volume responses suggest “disagreement” in B and H share trading (restricted to foreigners). After that, B share market behavior more closely resembles A share trading. Similar changes are not observed in a “control”, the H share market, which remains closed to PRC investors. There is little evidence that the change in pre-announcement activity in the B share market affects relative B and A prices or reflects superior information about corporate performance.
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