Analysis of Price Differences Between A and H Shares

Y. Bai, W. M. Tang and K. F. C. Yiu ()
Additional contact information
Y. Bai: The Hong Kong Polytechnic University
W. M. Tang: The Hong Kong Polytechnic University
K. F. C. Yiu: The Hong Kong Polytechnic University

Asia-Pacific Financial Markets, 2019, vol. 26, issue 4, No 6, 529-552

Abstract: Abstract The price difference between A share trading in the Mainland and H share trading in Hong Kong of the same company has been prevailing since inception. Studying the differences could be useful in understanding dissimilarity between the two markets. This paper is devoted to analyze certain company specific and market factors that may influence premiums between A and H shares. An appropriate factor model is built based on a sample from 63 listed companies in both markets from January 2014 to June 2017. Our factors are useful to explain premium variations. In addition to typical market and company specific factors, it is found premium levels are significantly related to the industry sector in general. Meanwhile, it is observed that premiums of many shares are becoming narrower in recent years, which might pave the way to convergence after closer links between the Mainland and Hong Kong stock exchanges.

Keywords: AH premium; Factor model; Stock market segmentation (search for similar items in EconPapers)
JEL-codes: C38 G14 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10690-019-09277-1 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:apfinm:v:26:y:2019:i:4:d:10.1007_s10690-019-09277-1

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/10690/PS2

DOI: 10.1007/s10690-019-09277-1

Access Statistics for this article

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

More articles in Asia-Pacific Financial Markets from Springer, Japanese Association of Financial Economics and Engineering
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().