Price disparity between Chinese A- and H-shares: Dividends, currency values, and the interest rate differential

Feng Jiao, Qingfu Liu, Yiuman Tse and Zhiqin Wang

Global Finance Journal, 2022, vol. 53, issue C

Abstract: We provide new evidence on price disparity between Chinese A- and H-shares for cross-listed companies in the period 2006–2019. Our panel-data results show that the A-share price premium is negatively related to cash dividends and expected relative currency values between mainland China and Hong Kong. International investors in H-shares prefer companies that pay dividends regularly, and they buy when the Chinese currency is expected to appreciate. A discounted dividend theoretical model explains these results.

Keywords: Chinese A- and H-shares; Market segmentation; Price disparity (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:53:y:2022:i:c:s104402832100017x

DOI: 10.1016/j.gfj.2021.100619

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