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Contribution Details
Type | Master's Thesis |
Scope | Discipline-based scholarship |
Title | Explaining the Price Disparity of Chinese A and H Shares |
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Institution | University of Zurich |
Faculty | Faculty of Economics, Business Administration and Information Technology |
Number of Pages | 103 |
Date | 2015 |
Abstract Text | This thesis investigates the price disparity phenomenon of Chinese companies that issue both A and H shares. A shares are listed in mainland China stock exchanges and are only available to mainland investors, while H shares are listed in the Stock Exchange of Hong Kong and are available to Hong Kong and foreign investors. The preliminary examination of the A and H share returns shows that A shares have only exposure to the domestic mainland market, while H shares are sensitive to both mainland and Hong Kong markets. Specific factors that are proposed by existing literature for dual-listing price disparity issues in other markets (especially for Chinese A and B shares) are further applied to the A and H share case. By constructing time series and panel data models, it is found that the price differences of A, H shares are significantly correlated with market sentiment, information asymmetry, relative liquidity, diversification effect, company specific sentiment effect and change of exchange rates. Testing results from different proxies for each variable and different model specifications illustrate the relations between variables and how they influence the A and H share price disparities. The empirical examination of the policy effect of the newly launched Shanghai - Hong Kong Stock Connect program shows that the policy effects have not yet been fully embodied in the stock prices. |
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