Market Liberalization within a Country
China’s B-share market, which used to be restricted to foreign investors, was partially opened up in February 2001 to Chinese local investors. We take this as a controlled experiment in cross-border trading on a small scale. We find mild but positive effects on the B-share market after liberalization, with higher volumes, lower levels of volatility, lower bid-ask spreads, and more liquidity after liberalization. Between A- and B-shares, price disparities narrowed; the correlation and the cointegration relationship became stronger; and the flow of information became more balanced. More new individual investors entered into the B-share market without crowding out existing institutional investors. Overall, the liberalization measure has helped to improve the quality of the B-share market and our results lend no support to the popular saying that liberalization does nothing but help the existing foreign shareholders to cash out.
Partial liberalization Cross-market trading Market quality Market segmentation China
Qian Sun Wilson H. S. Tong Yuxing Yan
Research Center Shanghai Stock Exchange 528 South Pudong Road Shanghai 200120, China Division of Ban School of Accounting and Finance Faculty of Business and Information Systems The Hong Kong Polytechn Wharton Research Data Services Wharton School University of Pennsylvania Philadelphia, PA 19104.6301
国际会议
西安
英文
1-31
2006-07-17（万方平台首次上网日期，不代表论文的发表时间）