Return Characteristics of State-Owned and Non-State-Owned Chinese a Shares

This study examines and compares stock returns and volatilities between state-owned and non-stateowned firms on the Shanghai and Shenzhen stock exchanges. Results vary significantly by exchange. Returns for both firm types, on both exchanges, exhibit negative skewness and high kurtosis inconsistent with a normal distribution. Returns display significant autocorrelation, even after the removal of lower order effects. Granger causality tests reveal that Shenzhen returns significantly lead Shanghai returns. Within both exchanges, state-owned firms lead non-state-owned firms. Neither state-owned nor non-stateowned firm shares are dominated in terms of second order stochastic dominance