Does Insider Trading Exist in Chinese Stock Market? Based on Comparison of Announcement Effects of A and B Shares

被引：0
作者：
Zhao, Juan [1 ]
机构：
[1] Huazhong Univ Sci & Technol, Sch Econ, Wuhan 430074, Peoples R China
来源：
INTERNATIONAL CONFERENCE ON ENGINEERING AND BUSINESS MANAGEMENT (EBM2011), VOLS 1-6 | 2011年
关键词：
announcement effect; format; event study; flow of information; insider trading; EVENT;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
With the Chinese stock market integrity, it is available to compare the announcement effects of a company listed in different stock markets. Using a sample of Chinese corporate news announcements from the period January 2002 to December 2007, this paper finds that there are different announcement effects about returns, volatility of returns and volume of trade in Shanghai and Shenzhen stock market in the event window. The paper points that the market structural difference is a main reason that causes the different annoucement effects in Shanghai and Shenzhen stock market.
引用
收藏
页码：2140 / 2144
页数：5
相关论文
共 8 条
  • [1] When an event is not an event: the curious case of an emerging market
    Bhattacharya, U
    Daouk, H
    Jorgenson, B
    Kehr, CH
    [J]. JOURNAL OF FINANCIAL ECONOMICS, 2000, 55 (01) : 69 - 101
  • [2] A NONPARAMETRIC TEST FOR ABNORMAL SECURITY-PRICE PERFORMANCE IN EVENT STUDIES
    CORRADO, CJ
    [J]. JOURNAL OF FINANCIAL ECONOMICS, 1989, 23 (02) : 385 - 395
  • [3] [刘培堂 Liu Peitang], 2006, [系统工程理论方法应用, Systems Engineering Theory Methodology Applications], V15, P509
  • [4] PIAO ZF, 2004, RES FINANCIAL EC ISS, V253, P50
  • [5] TANG QM, 2008, J FINANC RES, V332, P113
  • [6] Wang X, 2008, J BEIJING U AERONAUT, V21, P4
  • [7] WU WF, 2002, EC RES J, V12, P33
  • [8] ZHU Y, 2006, SYSTEMS ENG THEORY P, V10, P24
1