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

This study examines and compares stock returns and volatilities between state-owned (SO) and non-state-owned (NSO) 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, SO firms lead NSO firms. Neither SO nor NSO firm shares are dominated in terms of second-order stochastic dominance. Copyright 2005 by the Eastern Finance Association.