Return Characteristics of State-Owned and Non-State-Owned Chinese A Shares

被引：7

作者：

Seiler, Michael ^{[1
]}

Harrison, David ^{[2
]}

Van Vliet, Pim ^{[3
]}

Yeung, Kit ^{[4
]}

机构：

[1] Hawaii Pacific Univ, Honolulu, HI USA

[2] Univ Vermont, Burlington, VT 05405 USA

[3] Erasmus Univ, Rotterdam, Netherlands

[4] BPR Analyst, Kowloon, Peoples R China

来源：

FINANCIAL REVIEW | 2005年 / 40卷 / 04期

关键词：

state-owned enterprise; Chinese stock market;

D O I：

10.1111/j.1540-6288.2005.00123.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study examines and compares stock returns and volatilities between state-owned (SO) and non-state-owned (NSO) firms on the Shanghai and Shenzhen stock exchanges. Results vary significantly by exchange. Returns for both firm types, on both exchanges, exhibit negative skewness and high kurtosis inconsistent with a normal distribution. Returns display significant autocorrelation, even after the removal of lower-order effects. Granger causality tests reveal that Shenzhen returns significantly lead Shanghai returns. Within both exchanges, SO firms lead NSO firms. Neither SO nor NSO firm shares are dominated in terms of second-order stochastic dominance.

引用

页码：533 / 548

页数：16

共 39 条

[1] RISK AND REQUIRED RETURN ON EQUITY [J].