Articlegreen2001

Market Efficiency or Not? The Behaviour of China’s Stock Prices in Response to the Announcement of Bonus Issues

40 citations0/0 files storedResearch Online (University of Wollongong)

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Analysis and Corporate Governance

Abstract

Event study analysis is applied to investigate stock price reaction to the announcement of bonus issues for the emerging stock markets of China. Results show that the issues with a high bonus ratio (number of bonus shares in the issue/number of existing shares) usually attract positive returns and the issues with a low bonus ratio are rewarded with negative returns. The A-shares and B-shares prices exhibit some similarities in their reactions to bonus issues approvals. The hypothesis of semi-strong form market efficiency is rejected only partly for Chinas stock markets.

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References

1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1961Dividend Policy, Growth, and the Valuation of Shares 1985Using daily stock returns 1980Measuring security price performance 2003The Adjustment of Stock Prices to New Information 1977Estimating betas from nonsynchronous data 1990Evidence that stock prices do not fully reflect the implications of current earnings for future earnings 1989A nonparametric test for abnormal security-price performance in event studies

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