Share Price Disparity in Chinese Stock Markets

Tom Fong (), Alfred Wong and Ivy Yong
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Alfred Wong: Research Department, Hong Kong Monetary Authority
Ivy Yong: External Department, Hong Kong Monetary Authority

No 711, Working Papers from Hong Kong Monetary Authority

Abstract: The presence of price disparity between A- and H- shares suggests that the two markets are segmented and thus allocation of capital is inefficient. In this paper, we attempt to identify the factors contributing to the price disparity, with a view to helping policymakers find solutions to the problem. Our results suggest that the disparity is caused by a combination of micro and macro factors. The fact that some of these factors are found to have played a crucial role in determining the disparity implies that reforms that can remove or reduce the segmentation can potentially bring considerable benefits by improving price discovery and market efficiency.

Keywords: Price disparity; Chinese stock markets; Panel data analysis; Synchronisation; Dynamic correlation (search for similar items in EconPapers)
JEL-codes: C23 F36 G10 G12 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2007-07
New Economics Papers: this item is included in nep-cna, nep-fmk and nep-tra
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:hkg:wpaper:0711

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