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  • What Determines the Synchronicity of Stock Price Movements in the Shanghai and Shenzhen Stock Exchanges?

What Determines the Synchronicity of Stock Price Movements in the Shanghai and Shenzhen Stock Exchanges?

Julan Du, He Hao, Chenggang Xu

English , 2007/01 Shanghai-Hong Kong Development Institute Ocasional Paper Series Hong Kong Institute of Asia-Pacific Studies, CUHK

Tags: China Studies, Economics

215 x 140 mm , 37pp ISBN / ISSN : 9789624418187

  • US$3.00

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This paper analyses empirically the impact of four variables of static corporate governance, nine variables of dynamic corporate governance, and five variables of regional governance on the stock return synchronicity of listed companies in China with the inclusion of standard control variables. A four-year panel dataset collected from the annual reports of listed firms in the stock exchanges of Shanghai and Shenzhen is used. The actual measures for the practice of corporate governance for all listed firms in China from 1999 to 2002 are employed Some statistically strong effects of indicators of static and dynamic corporate governance and indices of regional governance on stock return synchronicity. A fairly strong empirical support is found that there are negative relationships between the quality of static corporate governance and stock return synchronicity, between dynamic corporate governance mechanisms and stock return synchronicity, and between the quality of regional governance and stock return synchronicity.

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