Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
986586 | Review of Development Finance | 2013 | 12 Pages |
I study market behavior around earnings releases for Chinese stocks, emphasizing the opening of the B share market to PRC investors on February 19th 2001. Before then, abnormal pre-announcement trading volume in the A share market (restricted to locals) suggests inside information, while announcement period return and volume responses suggest “disagreement” in B and H share trading (restricted to foreigners). After that, B share market behavior more closely resembles A share trading. Similar changes are not observed in a “control”, the H share market, which remains closed to PRC investors. There is little evidence that the change in pre-announcement activity in the B share market affects relative B and A prices or reflects superior information about corporate performance.