外面文题目：Foreign Ownership Restrictions And Market Segmentation In China’s Stock Markets
出产 处：Journal Of Financial Research
干 者：Chen.G. M,Lee.Bong-Soo,Rui.Oliver
We study market segmentation in China's stock markets, in which local firms issue two classes of shares: class A shares available only to Chinese citizens and class B shares available only to foreign citizens. Significant stock price discounts are documented for class B shares. We find that the price difference is primarily due to illiquid B-share markets. Relatively illiquid B-share stocks have a higher expected return and are priced lower to compensate investors for increased trading costs. However, between the two classes of shares, B-share prices tend to move more closely with market fundamentals than do A-share prices. Therefore, we find A-share premiums rather than B-share discounts in China's markets.
I. HYPERLINK “/cgi-bin/readmail?folderid=1&s=from_star_list&t=readmail&mailid=ZC3021xZB1GKnrR92SSin2hNVLJw0b&mode=pre&maxage=3600&base=12&ver=17379&sid=ZKmOFuO9lgQUFSVo” \l “toc#toc” \o “I. Introduction ” Introduction
We examine the effect of foreigners' ownership restrictions on equity prices in China. Recently, the finance literature documents that, with foreign ownership restrictions, a class of shares open to foreigners tends to command higher prices than those open to domestic investors (e.g., Stulz and Wasserfallen (1995), Domowitz, Glen, and Madhavan (1997)). An exception is stocks in China, which have received relatively little attention until recently.
Hietala (1989) reports a substantial premium for the foreign share price for the Finnish stock market for 1984-85. He derives equilibrium returns when domestic investors are allowed to hold only domestic stocks (restricted Finnish and unrestricted Finnish stocks) and foreign investors are allowed to hold all stocks (foreign s