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

Haoyua Ding; Yuying Jin; Kees Koedijk; Yunjin Wang

doi:10.1016/j.jimonfin.2020.102208

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

Haoyua Ding
, Yuying Jin
, Kees Koedijk
, Yunjin Wang

Shanghai University
Tilburg University

Research output: Contribution to journal › Article › Academic › peer-review

Abstract

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.

Original language	English
Article number	102208
Number of pages	8
Journal	Journal of International Money and Finance
Volume	107
DOIs	https://doi.org/10.1016/j.jimonfin.2020.102208
Publication status	Published - Oct 2020

Keywords

Capital account liberalization
Financing constraints
RQFII
Market response
China

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10.1016/j.jimonfin.2020.102208

1-s2.0-S0261560620301649-mainFinal published version, 281 KBLicence: Taverne

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title = "Valuation effect of capital account liberalization: Evidence from the Chinese stock market",

abstract = "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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KW - Capital account liberalization

KW - Financing constraints

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KW - Market response

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

Abstract

Keywords

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