Float, speculation and stock price : evidence from the split share structure reform in China

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 i...

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Main Authors: Hwang, Chuan-Yang, Zhang, Shaojun, Zhu, Yanjian
Other Authors: Nanyang Business School
Format: Article
Language:English
Published: 2020
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Online Access:https://hdl.handle.net/10356/139026
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-1390262023-05-19T07:31:18Z Float, speculation and stock price : evidence from the split share structure reform in China Hwang, Chuan-Yang Zhang, Shaojun Zhu, Yanjian Nanyang Business School Business::General Bubble Float 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. 2020-05-15T01:30:04Z 2020-05-15T01:30:04Z 2016 Journal Article Hwang, C.-Y., Zhang, S., & Zhu, Y. (2018). Float, speculation and stock price : evidence from the split share structure reform in China. The Singapore Economic Review, 63(3), 701-729. doi:10.1142/s0217590816500260 0217-5908 https://hdl.handle.net/10356/139026 10.1142/S0217590816500260 2-s2.0-84995503506 3 63 701 729 en Singapore Economic Review © 2016 World Scientific Publishing Company. All rights reserved.
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic Business::General
Bubble
Float
spellingShingle Business::General
Bubble
Float
Hwang, Chuan-Yang
Zhang, Shaojun
Zhu, Yanjian
Float, speculation and stock price : evidence from the split share structure reform in China
description 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.
author2 Nanyang Business School
author_facet Nanyang Business School
Hwang, Chuan-Yang
Zhang, Shaojun
Zhu, Yanjian
format Article
author Hwang, Chuan-Yang
Zhang, Shaojun
Zhu, Yanjian
author_sort Hwang, Chuan-Yang
title Float, speculation and stock price : evidence from the split share structure reform in China
title_short Float, speculation and stock price : evidence from the split share structure reform in China
title_full Float, speculation and stock price : evidence from the split share structure reform in China
title_fullStr Float, speculation and stock price : evidence from the split share structure reform in China
title_full_unstemmed Float, speculation and stock price : evidence from the split share structure reform in China
title_sort float, speculation and stock price : evidence from the split share structure reform in china
publishDate 2020
url https://hdl.handle.net/10356/139026
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