Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/74132
Title: | Float, speculation and stock price : evidence from the split share structure reform in China | Authors: | Hwang, CY Zhang, S Zhu, Y |
Issue Date: | Jun-2018 | Source: | Singapore economic review, June 2018, v. 63, no. 3, p. 701-729 | Abstract: | The Split Share Structure Reform in China offers a unique opportunity to test whether the supply of tradable shares (i.e., float) has a significant impact on the degree of speculation. After firms completed the reform, their float increased by 31% on average, while turnover and trading volume also increased substantially. We use information from firms’ reform plan to derive an estimate of the price premium of tradable shares over non-tradable shares before the reform and find that, after controlling for differences in liquidity and profitability, the price premium is significantly related to proxies for the level of speculative trading in tradable shares. Moreover, firms that were highly speculated before the reform had significantly smaller increase in turnover and trading volume than firms that were less speculated. Overall, our evidence confirms that there is a significant speculative component in the market price of tradable shares in China and a large increase in float dampens speculative trading. | Keywords: | Bubble Float Heterogeneous beliefs Speculative trading Split share structure reform in China |
Publisher: | World Scientific | Journal: | Singapore economic review | ISSN: | 0217-5908 | DOI: | 10.1142/S0217590816500260 | Rights: | Electronic version of an article published as The Singapore Economic Review, Vol. 63, No. 3 (2018) 701–729 DOI:10.1142/S0217590816500260 © World Scientific Publishing Company https://www.worldscientific.com/worldscinet/ser |
Appears in Collections: | Journal/Magazine Article |
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File | Description | Size | Format | |
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FloatSpeculationPrice_SER.pdf | Pre-Published version | 973.26 kB | Adobe PDF | View/Open |
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