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Information Transmission Effects between A and H Dual Listing Shares

Author

Listed:
  • Ai-Chi Hsu
  • Show-Yen Lai
  • Lien-Hui Chao

Abstract

The current study, taking A and H dual listing shares as the participants, aimed to investigate the effect of China’s opening-up policy on the information transmission among dual listing shares. The results indicated that China’s opening-up policy strengthened the integration of dual listing share and attracted more companies to collect funds via dual listing, making information transmission more frequent. Overall, with policies gradually unfolded, the co-movement between A and H shares grew closer, leading to the consistency in price discovery contribution ratio of A and H dual share markets. On the other hand, regression was employed to analyze factors resulting in the price difference of A and H stocks. The results revealed that information asymmetry was the most significant factor, followed by liquidity and exchange rate.

Suggested Citation

  • Ai-Chi Hsu & Show-Yen Lai & Lien-Hui Chao, 2014. "Information Transmission Effects between A and H Dual Listing Shares," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 8(5), pages 27-40.
    • Handle: RePEc:ibf:gjbres:v:8:y:2014:i:5:p:27-40
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    References listed on IDEAS

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    More about this item

    Keywords

    A Shares; H Shares; Dual Listing; Price Discovery; Information Share Model;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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