INFORMATION SHARES: EMPIRICAL EVIDENCE FROM THE FTSE CHINA A50 INDEX AND THE ISHARES FTSE A50 CHINA TRACKER

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Abstract

We study the price discovery process and common factor weights of SS50 (the FTSE China A50 Index traded in Mainland China) and A50 (the iShares FTSE A50 China Tracker traded in Hong Kong) using daily open-to-open price pairs and close-to-close price pairs. Due to Qualified Domestic Institutional Investor (QDII) scheme (13 April 2006) and US subprime mortgage crisis (middle 2007), our sample, which covers from November 18, 2004 to October 31, 2008, is divided into three periods. We find A50 has a much larger common factor weight than SS50, and A50 dominants for both open and close prices during all periods. The QDII enlarges the contribution of SS50, but financial crisis reduces it.

Keywords: Corporate Governance, Stock Market, China

How to cite this paper: Laih, Y.-W., & Li, C.-A. (2009). Information shares: Empirical evidence from the FTSE China A50 index and the iShares FTSE A50 China tracker. Corporate Ownership & Control, 6(4), 83-87. https://doi.org/10.22495/cocv6i4p8