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Analysis of Price Differences Between A and H Shares

Author

Listed:
  • Y. Bai

    (The Hong Kong Polytechnic University)

  • W. M. Tang

    (The Hong Kong Polytechnic University)

  • K. F. C. Yiu

    (The Hong Kong Polytechnic University)

Abstract

The price difference between A share trading in the Mainland and H share trading in Hong Kong of the same company has been prevailing since inception. Studying the differences could be useful in understanding dissimilarity between the two markets. This paper is devoted to analyze certain company specific and market factors that may influence premiums between A and H shares. An appropriate factor model is built based on a sample from 63 listed companies in both markets from January 2014 to June 2017. Our factors are useful to explain premium variations. In addition to typical market and company specific factors, it is found premium levels are significantly related to the industry sector in general. Meanwhile, it is observed that premiums of many shares are becoming narrower in recent years, which might pave the way to convergence after closer links between the Mainland and Hong Kong stock exchanges.

Suggested Citation

  • Y. Bai & W. M. Tang & K. F. C. Yiu, 2019. "Analysis of Price Differences Between A and H Shares," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(4), pages 529-552, December.
    • Handle: RePEc:kap:apfinm:v:26:y:2019:i:4:d:10.1007_s10690-019-09277-1
    DOI: 10.1007/s10690-019-09277-1
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    References listed on IDEAS

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    More about this item

    Keywords

    AH premium; Factor model; Stock market segmentation;
    All these keywords.

    JEL classification:

    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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