FURTHER EVIDENCE ON THE COMPARATIVE EFFICIENCY OF CHINESE ‘A’ AND ‘B’ SHARES

Abstract

This study examines differences in the extent of predictability in the pricing of the two main classes of equity traded in China, namely: A shares (available to Chinese investors) and B shares (traditionally available only to non‐Chinese investors). The study extends previous work by conducting a wider range of analyses and extending the sample period until the relaxation of rules preventing domestic investors from purchasing B shares. The results suggest that earlier evidence of greater predictability in the pricing of B shares is not entirely robust to changes in the method of analysis, and may only partially explain why Chinese authorities have recently decided to widen participation in the B market.

Citation

WANG, J., BURTON, B.M. and HANNAH, G.M. (2004), "FURTHER EVIDENCE ON THE COMPARATIVE EFFICIENCY OF CHINESE ‘A’ AND ‘B’ SHARES", Studies in Economics and Finance, Vol. 22 No. 2, pp. 20-39. https://doi.org/10.1108/eb028778