سرعت تعدیل به اطلاعات: شواهدی از بازار بورس چینی

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.

This study examines the speed of adjustment of prices to information in Chinese stock markets. The structure of the Chinese market provides an interesting setting for the study of this phenomenon. The Shanghai Stock Exchange (SHSE) and the Shenzhen Stock Exchange (SZSE) issue two classes of shares. A-shares can be purchased and traded by domestic (Chinese) investors only and are denominated in the local currency, RMB. B-shares are denominated in U.S. dollars on the Shanghai Stock Exchange and Hong Kong dollars on the Shenzhen Stock Exchange, and were sold only to foreign investors before February 11, 2001. After this date, B-shares were made available to domestic Chinese investors holding U.S. or Hong Kong dollars. As of December 31, 2003, both A- and B-shares were dual-listed by 87 companies. These 87 paired A- and B-shares have the same voting rights and are traded simultaneously on the Shanghai and the Shenzhen stock exchanges (dual listing of both A- and B-shares is permitted on the Shanghai and Shenzhen exchanges, but cross-listing the same stock on the two exchanges is prohibited). Since investors in A- and B-shares face the same firm-level fundamentals and equivalent systematic risk, market efficiency implies that the prices of A- and B-shares should exhibit the same speed of adjustment if investors have homogeneous characteristics. However, practical considerations suggest that the assumption of homogeneity between A- and B share investors is not valid. A report from the Chinese Securities Regulatory Commission (CSRC) in 2004 indicated that the A-share market has been dominated by domestic individual investors, while the B-share market is mainly comprised of foreign institutional investors. Kang, Liu, and Ni (2003) note that trading decisions of A-share investors are based on sentiment and news from informal sources, and Chen, Lee, and Rui (2001) suggest that B-share prices are more closely related to market fundamentals, while A-share prices are more likely to be influenced by non-fundamental factors. Hence, it is reasonable to classify B-share investors as more likely to be rational traders who focus on economic fundamentals, while A-share investors tend to act as noise traders. In analyzing this two-tier market structure, previous research on Chinese stock markets has focused on cross-market causal relationships and the interpretation of the persistent price differentials between A-shares and B-shares. Evidence indicates that a substantial price discount is associated with B-shares as compared to A-shares. Su (1998) finds that the average daily discount of B-share prices relative to A-share prices is about 62%, and similar discounts are documented by Chen et al. (2001). These studies suggest that the existence of persistent price differentials between A-shares and B-shares is due to differences in risk factors or different degrees of liquidity associated with the two markets. The price differential between A-shares and B-shares suggests that investors in the two markets may process information differently. We provide additional evidence regarding the processing of information in Chinese stock markets by examining the speed of adjustment of A- and B-shares. We study the determinants of the speed of adjustment of stock prices, and also explore how this speed varies between firms experiencing good performance versus those experiencing poor performance. In addition, we examine the effects of a change in ownership restrictions that occurred in 2001. Our results yield insights regarding the extent to which these markets are segmented or integrated, and on the relative efficiency and the reaction of market participants. The reminder of the paper is organized as follows. Section 2 presents a simple model of price adjustment in stock markets. Section 3 introduces a VAR model used to examine the speed of price adjustment. Section 4 describes the data. Section 5 reports the VAR model estimate of the speed of adjustment of Chinese A- and B-share index prices. Section 6 describes the measure the speed of price adjustment for individual stocks, and an examination of the factors that influence the speed of adjustment. Section 7 examines how the speed of adjustment changes in different market environments. Section 8 concludes the paper.

Although dual-listed A- and B-shares in Chinese stock markets have identical fundamentals at the firm level, our study finds that their share prices have different speeds of adjustment to common information. A-shares, which are available only to domestic investors before February, 2001, adjust to information more rapidly than do foreign-investor-dominated B-shares. Empirical analyses of the determinants of the speed of adjustment based on both weekly and daily data indicate that stocks with higher information flows and more prominent status in the market adjust to information faster. For A-shares, stocks with higher earnings adjust to information faster, while the speed of adjustment for B-shares is correlated with firm size. Starting in February 2001, a new policy provided both domestic and foreign investors the opportunity to invest in B-shares. Our evidence shows that the speed of adjustment of B-shares increased and the corresponding difference between A- and B-shares decreased following the adoption of this policy. We provide additional evidence on the difference in A-share and B-share markets by examining how their speed of adjustment differs in periods characterized by good news compared to periods of bad news. A-shares exhibit a faster speed of adjustment when bad news occurs, while B-shares react more quickly to good news. Our results provide interesting insights regarding the speed of information transmission in financial markets. From a market perspective, the speed of price adjustment can be used as a measure of the extent to which markets are integrated or segmented. From an investor perspective, the speed of price adjustment can be used to investigate how investor or firm characteristics are related to the reaction of market participants to information