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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | An explanation for the price disparity in the segmented market: evidence from dual-listed firms in the Chinese and US stock market |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Date | 2023 |
| Abstract Text | This paper investigates the relationship between stock liquidity and the corresponding ADR shares discount using a sample of cross-listed firms in both the A shares market in China and the ADR market in the USA. The liquidity hypothesis is examined by introducing the market depth variables. The result of this study indicates that a smaller difference in stock liquidity between A shares and ADR is related to a lower corresponding discount in the ADR market. Such an effect is validated by the subperiod check. Overall, this study highlights that market liquidity of cross-listed stocks explains a proportion of the variation in price disparity that long existed in the ADR market. Meanwhile, a stock-specific factor for the price disparity is also proposed in this paper. |
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