Residual state ownership and stock market integration: evidence from Chinese partly privatised firms

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Residual state ownership and stock market integration: evidence from Chinese partly privatised firms

This paper assesses China’s integration with the global stock market over its privatisation process, by examining the asset pricing mechanisms of Chinese firms under different levels of state ownership within a two-beta CAPM framework. We derive time-varying national and global systematic risks for...

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Bibliographic Details
Main Author:	Li, Hong
Format:	Article
Language:	English
Published:	Elsevier 2018
Subjects:	state ownership; political interference; asset pricing; stock market integration; Kalman smoothing; regime switching;
Online Access:	https://eprints.nottingham.ac.uk/43791/

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