Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/53180 
Year of Publication: 
2009
Series/Report no.: 
Nota di Lavoro No. 15.2009
Publisher: 
Fondazione Eni Enrico Mattei (FEEM), Milano
Abstract: 
In 2005-2006 China reformed its stock market by eliminating non-tradable shares. The regulator set general guidelines and then assigned responsibility for implementation to each company. We derive relations that should have been followed by the prices of stocks and exploit a company-level data set to compare the actual and the theoretical price reactions. We find evidence for abnormal returns both before the beginning of the reform and during the reform. Cross-sectionally, abnormal returns are associated mainly with turnover and compensation. This shows that in a speculative market, investors do not properly react to unambiguous corporate actions.
Subjects: 
Speculation
Chinese Stock Market
Market segmentation
Event study
Market Efficiency
JEL: 
G14
N25
Document Type: 
Working Paper

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