PACAP-CCER Database Q&A

• 1 . Overall structure of the database

  PACAP-CCER database includes the following data:
      i. company information
      ii. macro economic data
      iii. dividend distribution
      iv. financial statements,
      v. stock price
      vi. return
      vii. market index
      viii. corporate governance,
      ix. information on IPOs and pre-IPO financial.

• 2 . How is the database of price and returns set up?

  A unique feature of the Chinese stocks is that there are multiple share classes for a stock: A share, B share, and H share.
  
  A shares on the Shanghai and Shenzhen stock exchanges refers to those that are traded in Renminbi, the currency in mainland China. Some shares on the two mainland Chinese stock exchanges, known as B shares, are traded in foreign currencies.
  
  To accommodate this feature, we provide two type codes here. One is the company code and the other is the stock code.
  
  There are seven types of companies (COTYPE):
      0=firms with only A share
      1=firms with both A shares and B shares
      2=firms with both A shares and H shares
      3=firms with A, B, and H shares
      4=firms with only B shares
      5=firms with both B and H shares
      6=firms with only H shares, or red chips.
  
  The database of price and return (daily, file 011 and monthly, file 012) defines four types of stocks (STKTYP):
      0=A shares
      1=B shares
      2=H shares
      3=red chips.

• 3 . The use of STKTYP

  The sample SAS program to get all A shares:
  
  data Ashare; set f011;
  if stktyp=0;
  run;

• 4 . Does the database include red chips?

  “H share is a share of a company incorporated in the Chinese mainland that is listed on the Hong Kong Stock Exchange or other foreign exchange. H-shares are still regulated by Chinese law, but they are denominated in Hong Kong dollars and trade the same as other equities on the Hong Kong exchange.” Yes, red chips are included in the database.
  
  Sample SAS program to get red chips:
  
  data Ashare; set f011;
  if stktyp=3;
  run;

• 5 . The use of COTYPE and how to identify companies with A and B shares?

  Code assigned to different types of companies in file 001.
  0=A firm with A-share only
  1=A firm with A- and B-share
  2=A firm with A- and H-share
  3=A firm with A- and B- and H-share
  4=A firm with B-share only
  5=A firm with B- and H-share
  6=A firm with H-share only
  
  Sample SAS program to get companies with A and B shares:
  
  data ABshare; set f001;
  if cotype=1;
  run;

• 6 . Structure of financial statement files

  The financial statements for A-share industrial companies are stored in two files: f006 is for quarterly data and f007 is for yearly data. There is one record per company per quarter or year. The financial statements for A-share financial companies are stored in two files: f008 is for quarterly data and f009 is for yearly data.
      Each record in the quarterly files is made up of five groups of data:
      1. Company Information
      2. Balance Sheet Items
      3. Income Statement Items
      4. Market Related Data
      5. Supplementary Items
      Each record in the yearly files is made up of six groups of data:
      1. Company Information
      2. Balance Sheet Items
      3. Income Statement Items
      4. Market Related Data
      5. Adjustment for Prior Years
      6. Supplementary Items
  
  Quarterly/Yearly Financial statements for H share financial/industrial companies are stored in files from 017 through 020 (TBA).

• 7 . Structure of calendar files

  The calendar file (file 002) contains the trading status of the stock exchange. It includes:
      i. status of Shanghai Stock Exchange (STATSE_SH)
      ii. status of Shenzhen Stock Exchange (STATSE_SZ),
      iii. status of Hong Kong Stock Exchange (STATSE_HK)
      iv. lunar calendar date (CNDATE) and leap month (LEAP).

• 8 . Structure of market return file

  The market return files (file 011 for daily data and file 012 for monthly data) contain daily/monthly equally-weighted and value-weighted market returns with or without cash dividend reinvested. It also provides risk free rate of return, the number of companies included in the calculation, and aggregate A shares market capitalization.

• 9 . Coverage of lPO and pre-lPO files

  IPO file (file 021) provides initial public offering information for all companies listed in Shanghai or Shenzhen Stock Exchanges. The time period covers from 1994 to 2010. Pre-IPO file (file 022) includes financial statements for firms before they list in stock exchanges.