1、中文 4397 字 外文题目： Foreign Ownership Restrictions And Market Segmentation In China s Stock Markets 出 处： Journal Of Financial Research 作 者： Chen.G. M,Lee.Bong-Soo,Rui.Oliver 原 文： Abstract We study market segmentation in Chinas stock markets, in which local firms issue two classes of shares: class A shar
2、es available only to Chinese citizens and class B shares available only to foreign citizens. Significant stock price discounts are documented for class B shares. We find that the price difference is primarily due to illiquid B-share markets. Relatively illiquid B-share stocks have a higher expected
3、return and are priced lower to compensate investors for increased trading costs. However, between the two classes of shares, B-share prices tend to move more closely with market fundamentals than do A-share prices. Therefore, we find A-share premiums rather than B-share discounts in Chinas markets.
4、I.Introduction We examine the effect of foreigners ownership restrictions on equity prices in China. Recently, the finance literature documents that, with foreign ownership restrictions, a class of shares open to foreigners tends to command higher prices than those open to domestic investors (e.g.,
5、Stulz and Wasserfallen (1995), Domowitz, Glen, and Madhavan (1997). An exception is stocks in China, which have received relatively little attention until recently. Hietala (1989) reports a substantial premium for the foreign share price for the Finnish stock market for 1984-85. He derives equilibri
6、um returns when domestic investors are allowed to hold only domestic stocks (restricted Finnish and unrestricted Finnish stocks) and foreign investors are allowed to hold all stocks (foreign stocks and unrestricted Finnish stocks). He shows that in this market setting domestic investors may pay less
7、 than foreign investors for domestic stocks. Bailey and Jagtiani (1994) study the effects of capital controls using data from Thailand, which segment local and foreign trading of securities that have reached foreign ownership limits. They find that an average premium of 19 percent exists on the Alie
8、n Board of the stock exchange of Thailand and that cross-sectional differences between local and foreign prices are correlated with proxies for the severity of foreign ownership limits, liquidity, and information availability. Stulz and Wasserfallen (1995) find foreign investors pay higher prices fo
9、r shares than domestic investors do for a sample of nineteen firms listed in Switzerland. Domowitz, Glen, and Madhavan (1997) document significant stock price premiums for B series shares in Mexico, which are not restricted to a particular investor group, and examine the relation between stock price
10、s and market segmentation induced by ownership restrictions. Since the establishment of the Shanghai Stock Exchange (SHSE) on December 19, 1990, and the Shenzhen Stock Exchange (SZSE) on July 3, 1991, Chinas stock markets have expanded rapidly. Some firms issue two types of shares. Class A shares, w
11、hich are denominated in RMB, are traded among Chinese citizens, and class B shares are traded among non-Chinese citizens or overseas Chinese. Other than segmentation by ownership, these two classes of shares are similar； in particular, owners have equal rights to cash flows and voting privileges. Un
12、like other countries, there exists a large price discount for B shares (foreign shares) relative to the A shares (domestic shares). Bailey (1994) analyzes eight Chinese B-share stocks from March 1992 through March 1993. He finds a significant discount in B-share prices relative to A-share prices of
13、these eight stocks. In our sample of sixty-eight firms issuing both A-share and B-share stocks, the average B-share discount on the SHSE is about 66.2 percent and that on the SZSE is about 52.4 percent from 1992 to 1997. Given substantial price differences between the two classes of shares, we addre
14、ss two issues. First, we try to identify factors that affect large discounts in B shares. Second, between the two classes of shares, we try to figure out which one mimics Chinas market fundamental values more closely. In other words, if the foreign ownership restriction is lifted, we wish to know wh
15、ich share prices will move closer to the new market prices. To address the first issue, we consider four potential explanations about the sources of the differential prices: the asymmetric information hypothesis, the differential demand hypothesis, the liquidity hypothesis, and the differential risk
16、 hypothesis. Although these hypotheses may explain the price differences between the two classes of shares, they are not necessarily complementary and they yield different empirical predictions. We characterize each hypothesis by its empirical implications and examine empirical evidence on each hypo
17、thesis using a panel data analysis. To address the second issue, we examine a model of dynamic relation between future cash flows and the two classes of share prices (returns) that tells us the relative weight of each class share price for given market fundamentals. Overall, we find that the substan
18、tial discounts in class B shares are primarily due to illiquid B-share markets. Relatively illiquid B shares have a higher expected return and are priced lower to compensate investors for increased trading costs. However, between the two classes of shares, we find that B-share prices tend to move mo
19、re closely with market fundamentals. This suggests A-share premiums rather than B-share discounts. II.Introduction of Chinas Stock Exchanges and Sample Data The emergence of Chinas capital markets began with issuance of state treasury bonds in 1981 and state-enterprises corporate bonds to employees
20、in 1984. Some state enterprises were also allowed to issue stocks to their employees. The capital markets were not well shaped until the formal establishment of the SHSE on December 19, 1990, and the SZSE on July 3, 1991. In 1992, China allowed some companies to issue a special type of stock, B shar
21、es, for trading by foreign investors. The two B-share markets-SHSE, where B shares are denominated in U.S. dollars, and SZSE, where B shares are denominated in HK dollars-were established to enourage foreign participatian in the mainlands double-digit economic growth. Although technically prohibited
22、 from trading B shares, domestic participants have been allowed to trade B shares under certain conditions. Chinas stock markets have expanded rapidly, as shown in Table 1. The number of A-share-listed firms has increased from 53 in 1992 to 720 in 1997, of which 372 traded on the SHSE and 348 traded on the SZSE. The number of B-share-listed firms has increased from 14 in 1992 to 101 in 1997, of which 50 traded on the SHSE and 51 traded on the SZSE. The total market capitalization has increased more than
