As shown in Table 1 Penal A, seven of the 11 years for the SHSE "A" share index, six of the 10 years for the SHSE "B" share index show positive May return.
On the other hand, most of the May returns on the SHSE "A" and "B" share indices are high, and the mean May return is the highest.
Further study is needed to uncover the factors that are related to the poor performance of the markets in the months of July and December, and the excellent performance of the SHSE "A" and "B" share indices in the month of May.
Month SHSE A SHSE B SZSE A SZSE B January 5 6 5 5 Mean 0.
We chose SHSE
and SZSE A-share indexes as the market portfolio for A-share companies in these two markets, respectively.
The reorganized date refers to the date that the Chinese government allowed the State-owned enterprise to reorganize as a corporate limited company, and the listing date is the date that its stocks are first offered at the SHSE or SZSE.
To minimize the bias effects induced by non-synchronous trading, we construct three equally weighted portfolios: full sample portfolio in Panel A (including all 16 SHSE AB pairs and 14 SZSE AB pairs), Shanghai Stock Exchange portfolio in Panel B (including all 16 SHSE AB pairs), and Shenzhen Stock Exchange portfolio in Panel C (including all 14 SZSE AB pairs).
Panel B (SHSE sample) and Panel C (SZSE sample) show similar patterns to Panel A (full sample) in the dynamics of return transmission and volatility spillover between Chinese A and B shares, but the cross-market spillover effects are much stronger for the SZSE sample than for the SHSE sample.
i,t] is the B share percentage price discount; TURNBA is the B share to A share relative liquidity ratio in %; EPS is the Earning Per Share in RMB adjusted for stock splits and rights issues; DivNI is the Dividend Payout Ratio which is calculated as Total Dividend divided by Net Income; OUTB is the percentage of B shares over the company's total outstanding shares; STATE is the percentage of company shares held by the State or State-owned legal persons; DEBT is the percentage debt ratio which is calculated as total debt over total assets; D95, D96, D76, and D98 are indicator (dummy) variables of years 1995, 1996, 1997 and 1998, respectively; and SHSE is an indicator variable for companies traded in Shanghai Stock Exchange.
As of December 2001, there are 255 SHSE members (112 are securities firms and 143 are nonsecurities firms) in Mainland China.
Individuals are allowed to open only one brokerage account at any one branch in order to trade SHSE stocks, and the account is opened using their National Identity Card.
We select a base sample of brokerage branches that are all located in Shanghai, the home of the SHSE.