The impact of Shanghai–Hong Kong Stock Connect policy on A-H share price premium

Qingliang (Michael) Fan and Ting Wang

Finance Research Letters, 2017, vol. 21, issue C, 222-227

Abstract: This paper empirically investigates the A-H share premium puzzle in the perspective of the effect of Shanghai–Hong Kong Stock Connect policy using a panel data of 55 dual-listed companies from January 4th, 2013 to December 31st, 2015. After controlling factors measuring company-specific factors, market performance and investor preferences, the empirical results show that the Shanghai–Hong Kong Stock Connect policy can significantly reduce the A-H share premium for the dual-listed companies in Shanghai and Hong Kong markets. Better corporate governance is also found to reduce the A-H share premium.

Keywords: Market segmentation; A-H share premium; Shanghai–Hong Kong Stock Connect policy; Panel data (search for similar items in EconPapers)
JEL-codes: G1 G28 G3 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:21:y:2017:i:c:p:222-227

DOI: 10.1016/j.frl.2016.11.014

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