Publication Type

Journal Article

Version

acceptedVersion

Publication Date

2004

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- and B-share markets, respectively. We conduct an event study on the annual earnings announcements based on two different accounting standards: International accounting standards (IAS) and PRC generally accepted accounting principles (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 preevent 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 postevent abnormal trading volumes last for a longer period in the A-share market than in the B-share market.

Keywords

Earnings announcement, Event study, Market segmentation

Discipline

Econometrics | Finance

Research Areas

Econometrics

Publication

International Review of Economics and Finance

Volume

13

Issue

4

First Page

455

Last Page

474

ISSN

1059-0560

Identifier

10.1016/j.iref.2003.11.010

Publisher

Elsevier

Additional URL

https://doi.org/10.1016/j.iref.2003.11.010

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