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.
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页码：30 / 49
页数：20
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