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.
92% higher than the discount at SZSE for companies with the same financial strength.
Fuzhong Liu, Vice Director of Strategy and International Relations, SZSE
CCG, MarcumBP and SZSE are also hosting China Best Ideas A-share Company Tour on September 11[sup.
The companies are selected by SZSE as representative ones with strong financial performance, and they are accordingly listed on the SZSE's Main Board, SME Board, and ChiNext.
According to our investigation, the SZSE has been providing attractive valuations to companies.
The Company cautions investors that listing on the SZSE is a complex process that involves a number of risks and uncertainties, including without limitation, approval of China's Securities Regulatory Commission, and there is no assurance that the listing of Jinzhou Halla on the SZSE will be completed.
The Company will hold a conference call at 8 am Eastern Time on Jan 3rd 2011 to discuss the proposed listing of Jinzhou Halla on the SZSE, including the expected schedule, returns, risks and related matters.