The relative pricing of cross-listed securities: The case of Chinese A- and H-share

Yao Zheng, Eric Osmer and Liancun Zheng

The Quarterly Review of Economics and Finance, 2018, vol. 67, issue C, 297-310

Abstract: In this paper, we use a sample of Chinese companies cross-listed in the A- and H-share markets and investigate the impact of liquidity and transparency on the H-share discount. We find that higher relative illiquidity of H-shares is associated with a higher H-share discount, relative to A-shares. In addition, more actively traded A-shares and infrequently traded H-shares are associated with a higher H-share discount. We also find that an increase in the number of analysts following a firm, firms with a higher percentage of A-share holdings by mutual funds, as well as firms audited by the Big 4 accounting firms are all associated with a smaller H-share discount. Overall, the results provide support for the notion that liquidity and transparency affect the relative pricing of A- and H-shares.

Keywords: H-shares; A-shares; Market anomaly; Liquidity; Transparency (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:67:y:2018:i:c:p:297-310

DOI: 10.1016/j.qref.2017.07.010

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