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 |
| Pages (from-to) | 1-8 |
| Number of pages | 8 |
| Journal | Journal of International Money and Finance |
| Volume | 107 |
| Early online date | 12 May 2020 |
| DOIs | |
| Publication status | Published - Oct 2020 |
Funding
Haoyuan Ding acknowledges financial support from the National Natural Science Foundation of China (no. 71703086 ). Yuying Jin acknowledges financial support from the National Social Science Foundation of China (no. 18AZD010 ). Haoyuan Ding and Yuying Jin acknowledge financial support from the Program for Innovative Research Team of Shanghai University of Finance and Economics . All errors are our own.
| Funders | Funder number |
|---|---|
| National Social Science Foundation of China | |
| Program for Innovative Research Team of Shanghai University of Finance and Economics | |
| National Natural Science Foundation of China | 71703086 |
| National Office for Philosophy and Social Sciences | 18AZD010 |
Keywords
- Capital account liberalization
- China
- Financing constraints
- Market response
- RQFII
