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首页> 外文期刊>The quarterly review of economics and finance >Stock market efficiency in China: Evidence from the split-share reform
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Stock market efficiency in China: Evidence from the split-share reform

机译：中国股市效率：股权分置改革的证据

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摘要

We perform an event study to investigate the efficiency of the Chinese stock market. We study the reaction of stock returns and trading volumes to the 2005-2006 structural reform which allowed the transformation of non-tradable shares (NTS) into tradable shares (TS) through payment of a compensation to holders of TS. We find evidence of positive abnormal returns in the few days before announcement of which companies will undergo the reform process, that can be explained by information leakage and not by a compensation risk premium, and in the ten days after the readmission to trading of participating companies following the determination of the compensation, which is consistent with a Merton visibility effect. We use a bootstrap procedure designed to replicate the actual degree of covariance across firms.
机译：我们进行了一项事件研究，以调查中国股市的效率。我们研究了股票收益和交易量对2005-2006年结构改革的反应，该结构改革允许通过向TS持有人支付报酬将非流通股（NTS）转换为流通股（TS）。我们在宣布将进行改革的公司宣布的前几天发现了正的异常收益的证据，这可以通过信息泄漏而不是通过补偿风险溢价​​来解释，并且可以在参与公司重新入市后的十天内进行解释。确定补偿后，这与默顿能见度效应相一致。我们使用引导程序来设计跨公司的实际协方差程度。

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