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Has the difference in stock liquidity and stock returns between Chinese state owned and privately owned enterprises become smaller?
Qiao,Zhuo1; Pukthuanthong,Kuntara2
2019-03-01
Source PublicationFinance Research Letters
ISSN15446123
Volume28Pages:39-44
Abstract

This paper contrasts the stock liquidity and stock returns between Chinese state owned enterprises (SOEs) and privately owned enterprises (POEs) before and after the split-share structure reform initiated in 2005. This reform converted a huge volume of non-tradable shares into tradable shares and opened the gate to further privatization of Chinese SOEs. We find the liquidity of SOE stocks was higher than the liquidity of POE stocks before the reform, but their liquidity increased significantly to reach the same level after the reform. Since higher liquidity facilitates arbitrage trading, we hypothesize that arbitrage gains across SOE and POE stocks should shrink after the reform. Consistent with our hypothesis, we find that SOE stock returns stochastically dominated POE stock returns before the reform, but there was no dominance relationship between them after the reform.

KeywordPrivately Owned Enterprises Split-share Structure Reform State Owned Enterprises Stochastic Dominance
DOI10.1016/j.frl.2018.03.022
URLView the original
Language英语
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Document TypeJournal article
CollectionDEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Corresponding AuthorQiao,Zhuo
Affiliation1.Department of Finance and Business Economics,Faculty of Business Administration,University of Macau,,Taipa,Macao
2.Trulaske College of Business,University of Missouri,,Columbia,United States
First Author AffilicationFaculty of Business Administration
Corresponding Author AffilicationFaculty of Business Administration
Recommended Citation
GB/T 7714
Qiao,Zhuo,Pukthuanthong,Kuntara. Has the difference in stock liquidity and stock returns between Chinese state owned and privately owned enterprises become smaller?[J]. Finance Research Letters,2019,28:39-44.
APA Qiao,Zhuo,&Pukthuanthong,Kuntara.(2019).Has the difference in stock liquidity and stock returns between Chinese state owned and privately owned enterprises become smaller?.Finance Research Letters,28,39-44.
MLA Qiao,Zhuo,et al."Has the difference in stock liquidity and stock returns between Chinese state owned and privately owned enterprises become smaller?".Finance Research Letters 28(2019):39-44.
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