Risk-sharing, market imperfections, asset prices: Evidence from China's stock market liberalization

Chan, MK; Kwok, S

Risk-sharing, market imperfections, asset prices: Evidence from China's stock market liberalization

Chan, MK

Kwok, S

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Publication Type:: Journal Article
Citation:: Journal of Banking and Finance, 2017, 84 pp. 166 - 187
Issue Date:: 2017-11-01

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Field	Value	Language
dc.contributor.author	Chan, MK https://orcid.org/0000-0002-1010-7587	en_US
dc.contributor.author	Kwok, S	en_US
dc.date.issued	2017-11-01	en_US
dc.identifier.citation	Journal of Banking and Finance, 2017, 84 pp. 166 - 187	en_US
dc.identifier.issn	0378-4266	en_US
dc.identifier.uri	http://hdl.handle.net/10453/124002
dc.description.abstract	© 2017 Elsevier B.V. We examine the roles of risk-sharing and other factors in stock price revaluation during a recent liberalization episode in China. Consistent with the theoretical prediction that liberalizations reduce systematic risk, we find that risk-sharing explains approximately one-fourth of the price revaluation of investible stocks during the eight-month window between reform announcement and implementation. The firm-specific information generated by the reform is more efficiently priced into stocks that have a higher degree of market liquidity, information transparency, and informed trading.	en_US
dc.relation.ispartof	Journal of Banking and Finance	en_US
dc.relation.isbasedon	10.1016/j.jbankfin.2017.06.003	en_US
dc.subject.classification	Finance	en_US
dc.title	Risk-sharing, market imperfections, asset prices: Evidence from China's stock market liberalization	en_US
dc.type	Journal Article
utslib.citation.volume	84	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1401 Economic Theory	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Economics Discipline
utslib.copyright.status	closed_access
pubs.publication-status	Published	en_US
pubs.volume	84	en_US

Abstract:

© 2017 Elsevier B.V. We examine the roles of risk-sharing and other factors in stock price revaluation during a recent liberalization episode in China. Consistent with the theoretical prediction that liberalizations reduce systematic risk, we find that risk-sharing explains approximately one-fourth of the price revaluation of investible stocks during the eight-month window between reform announcement and implementation. The firm-specific information generated by the reform is more efficiently priced into stocks that have a higher degree of market liquidity, information transparency, and informed trading.

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http://hdl.handle.net/10453/124002