Valuation effect of capital account liberalization: Evidence from the Chinese stock market

This paper examines the valuation effect of capital account liberalization. Using an event study approach and the policy announcement for RMB Qualified Foreign Institutional Investors (short for RQFII) as the event date, we find that overall, the stock market responded positively to the capital acco...

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Detalles Bibliográficos
Autores principales: Ding, Haoyuan, Jin, Yuying, Koedijk, Kees G., Wang, Yunjin
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Ltd. 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7214332/
https://www.ncbi.nlm.nih.gov/pubmed/32398887
http://dx.doi.org/10.1016/j.jimonfin.2020.102208
Descripción
Sumario:This paper examines the valuation effect of capital account liberalization. Using an event study approach and the policy announcement for RMB Qualified Foreign Institutional Investors (short for RQFII) as the event date, we find that overall, the stock market responded positively to the capital account liberalization announcement. In addition, we provide some heterogeneity that firms with more stringent financing constraints earn higher returns than their counterparts. Finally, existing local institutions play an important role in determining announcement returns.

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