Journal article
The speed of adjustment to information: Evidence from the Chinese stock market
International review of economics & finance, v 17(2), pp 216-229
2008
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper examines the speed of price adjustment in Chinese A- and B-share stock markets. We use a VAR model to show that A-shares, which are owned primarily by domestic individual investors, adjust to information faster than do B-shares, which are owned primarily by foreign institutional investors. Our analysis of firm characteristics suggests that the speed of stock price adjustment for A-shares is related to earnings per share, while that for B-shares is related to firm size. We also find that A-shares react more quickly to bad news, while B-shares react more quickly to good news. The difference in the speed of adjustment between A- and B-shares decreased following the liberalization of financial policy in February 2001, which allowed domestic investors to purchase B-shares.
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Details
- Title
- The speed of adjustment to information: Evidence from the Chinese stock market
- Creators
- Thomas C. Chiang - Drexel UniversityEdward Nelling - Drexel UniversityLin Tan - California State Polytechnic University
- Publication Details
- International review of economics & finance, v 17(2), pp 216-229
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Finance
- Web of Science ID
- WOS:000258954700004
- Scopus ID
- 2-s2.0-39149124850
- Other Identifier
- 991019168257104721
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- Collaboration types
- Domestic collaboration
- Web of Science research areas
- Business, Finance
- Economics