Publication Type
Working Paper
Version
publishedVersion
Publication Date
10-2002
Abstract
This paper investigates the trading activities of two distinct classes of shareholders, namely, the Chinese domestic investors and the foreign investors in the segmented Chinese A-share and B-share markets, respectively. We conduct an event study on the annual earnings announcements based on two different accounting standards: IAS and PRC GAAP. The earnings announcements based on IAS and PRC GAAP are value relevant. The investors in the B-share market react to both the IAS and PRC GAAP earnings announcements, while the investors in the A-share market pay more attention to the PRC GAAP earnings reports. In the B-share market, positive abnormal returns are associated with positive earnings surprise and negative abnormal returns go with negative earnings surprise. We find pre-event abnormal trading volumes without significant price changes for the A shares, which may be due to existing information in the A-share market prior to earnings announcements. The post-event abnormal trading volumes last for a longer period in the Ashare market than in the B-share market.
Discipline
Econometrics | Finance
Research Areas
Econometrics
First Page
1
Last Page
21
Publisher
SMU Economics and Statistics Working Paper Series, No. 20-2002
City or Country
Singapore
Citation
GAO, Yu and TSE, Yiu Kuen.
Market Segmentation and Information Values of Earnings Announcements: Some Empirical Evidence from an Event Study on the Chinese Stock Market. (2002). 1-21.
Available at: https://ink.library.smu.edu.sg/soe_research/1193
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Comments
Published in International Review of Economics and Finance, 2004, https://doi.org/10.1016/j.iref.2003.11.010