How Does the Shanghai-Hong Kong Stock Connect Policy Impact the A-H Share Premium?

Junchang Pan and Jing Chi

Emerging Markets Finance and Trade, 2021, vol. 57, issue 7, 1912-1928

Abstract: Using a monthly panel data of 56 cross-listed companies from November 2011 to November 2017, this study finds that the Shanghai-Hong Kong Stock Connect Policy significantly reduces the A-H share premium and price disparity after controlling for various factors. In addition, with the recent availability of the fund flow data between the two markets, this paper provides the new evidence that the imbalanced demand of these two markets is a main explanation for the A-H share premium variations.

Date: 2021
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1080/1540496X.2019.1694899 (text/html)
Access to full text is restricted to subscribers.

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:mes:emfitr:v:57:y:2021:i:7:p:1912-1928

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/MREE20

DOI: 10.1080/1540496X.2019.1694899

Access Statistics for this article

More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().