Skip to main content
Asset pricing in segmented capital markets : preliminary evidence from China-domiciled companies
Pacific Basin Finance Journal
  • Pui Han, Winnie POON, Lingnan College, Hong Kong
  • Michael Arthur FIRTH, Hong Kong Polytechnic University
  • H. G. FUNG, University of Baltimore, United States
Document Type
Journal article
Publication Date
  • Chinese financial markets,
  • International asset pricing,
  • Market segmentation

A number of Chinese companies have issued shares to investors within China (A shares) and issued shares to foreign investors (B, H, and N shares). All these shares have equal rights although A shares can only be sold to, and traded among, PRC citizens and B, H, and N shares can only be issued to, and traded among, foreign investors. The paper examines the impact of the initial listing of B-share issues on the prices of already listed A shares. Our analyses test the joint characteristics of market segmentation and seasoned equity offerings. We find that the abnormal returns on A-share companies that also offer B shares are significantly negative, a result consistent with the hypothesis that the demand curve for equity shares is downward sloping. Interestingly, these negative abnormal returns can be explained by our proxies for the investor recognition theory of Merton (1987) and the liquidity theory of Amihud and Mendelson (1986).

Publisher Statement

Copyright © 1998 Elsevier Science B.V.

Access to external full text or publisher's version may require subscription.

Full-text Version
Publisher’s Version
Citation Information
Poon, W. P. H., Firth, M., & Fung, H.-G. (1998). Asset pricing in segmented capital markets: Preliminary evidence from China-domiciled companies. Pacific Basin Finance Journal, 6(3/4), 307-319. doi: 10.1016/S0927-538X(98)00015-8