DO QUALIFIED FOREIGN INSTITUTIONAL INVESTORS IMPROVE INFORMATION EFFICIENCY: A TEST OF STOCK PRICE SYNCHRONICITY IN CHINA?
Journal Title: Asian Economic and Financial Review - Year 2017, Vol 7, Issue 5
Abstract
Stock price synchronicity at a country level has been the subject of many previous studies, but for most investors it is more relevant at a firm level. Working from the perspective of a foreign investor stock price synchronicity is analyzed at the firm-level in the hot Chinese stock market. The impact of foreign ownership, institutional ownership, the concentration of large shareholders, and audit quality are all considered as factors which impact on firm-specific information and thus moderate stock price. Using data of Chinese-listed firms in the Chinese A-shares capital market from 2004-2014 stock price synchronicity is measured. Empirical results suggest stocks invested by Qualified Foreign Institutional Investor (QFII) investors and institutional investors stocks have a significantly lower price synchronicity than stocks without institutional investment. This was found to increase as share concentration increased, until a relatively high concentration percentage was reached when synchronicity starts to fall again. Government ownership was shown to be a factor with high synchronicity but results for the use of a Big 4 Auditor was weaker.
Authors and Affiliations
Liping Zou*| Massey University, Auckland, New Zealand, North Shore Mail Centre, Auckland, New Zealand, William Wilson| Massey University, Auckland, New Zealand, North Shore Mail Centre, Auckland, New Zealand, Shijie Jia| Massey University, Auckland, New Zealand, North Shore Mail Centre, Auckland, New Zealand
Keywords
Related Articles
- EP ID EP2377
- DOI -
- Views 495
- Downloads 38
DOES FIRM PROFILE INFLUENCE FINANCIAL ACCESS AMONG SMALL AND MEDIUM ENTERPRISES IN KENYA?
The purpose of this research is to determine whether firm-specific factors influence Small and Medium Enterprises’ (SMEs) ability to access finance. To address the study objectives, data from a sample of 103 SMEs was use...
Tax Structure and Economic Growth in Côte d’Ivoire: Are Some Taxes Better Than Others?
This paper examines the relationships between taxation and output in Côte d’Ivoire during the period 1960-2006. The bounds testing approach to cointegration devised by Pesaran et al. (2001) showed that tax variables, exc...
IMPACT OF MACROECONOMIC PERFORMANCE ON CORPORATE CASH HOLDINGS: SOME EVIDENCES FROM JORDAN
The paper presents empirical evidences of macroeconomic determinants of cash holdings using panel data of 65 non-financial firms listed in ASE during the period from 2000 to 2011. The results of this study find a partial...
IMPOSITION OF R&D SUBSIDY IN A PRODUCT DIFFERENTIATED DUOPOLISTIC INDUSTRY
This study analyzes an imposition of government R&D investment subsidy in the standard model of vertical product differentiation with two products in a duopolistic competition. We show that the imposition of distinct sub...
TEST OF THE DAY OF THE WEEK EFFECT: THE CASE OF KUWAIT STOCK EXCHANGE
This study examines the presence of the day-of-the-week effect anomaly in the Kuwait Stock Exchange (KSE) using Ordinary Least Square Method (OLS). The day-of-the-week effect is a phenomenon that constitutes a form of an...