Decomposing the Bid-Ask Spread in a Segmented Equity Market: Analyzing Chinese A Shares Versus B Shares

被引：3

作者：

Chen, Zhian ^{[1
]}

Cui, Xin ^{[1
,2
]}

机构：

[1] Univ New S Wales, Sch Banking & Finance, Sydney, NSW, Australia

[2] Renmin Univ China, Sch Business, Beijing, Peoples R China

来源：

EMERGING MARKETS FINANCE AND TRADE | 2012年 / 48卷 / 04期

关键词：

bid-ask spread; China; market segmentation; TOKYO STOCK-EXCHANGE; CORPORATE GOVERNANCE; ADVERSE SELECTION; NYSE STOCKS; COMPONENTS; LIQUIDITY; PRICES; NASDAQ; COMPETITION; SERVICES;

D O I：

10.2753/REE1540-496X480402

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Because of a regulatory policy change in February 2001, the segmentation of the Chinese stock market significantly decreased. Using this event, we show that the Chinese A-share market is more informationally efficient than the B-share market, both before and after the opening of the B-share market. Furthermore, after the event, both the adverse selection and the order-processing component of B shares decreased, as a result of a larger investor base and possibly a lower proportion of informed investors. This study thus sheds new light on the market segmentation and its effect on transaction costs.

引用

页码：30 / 49

页数：20

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