Macau Periodical Index (澳門期刊論文索引)

Fong, Steve CC; Wong, Agatha KM
An empirical study of price differences of price differences of Chinese cross-listed stocks: A-shares and H-shares
Journal Name
Euro Asia Journal of Management
Pub. Info
Jun. 2010, Vol.20, No.1, pp. 51-70
Abstract : Companies may choose to cross-list shares on overseas stock exchanges for raising finance. In China, A-shares are for domestic investors and tradable in the Shanghai Stock Exchange and Stock Exchange and Shenzhen Stock Exchange; and H-shares are for international investors and tradable in the Hong Kong Stock Exchange. This study investigates the causes of price difference between A-shares and H-shares. Twenty-two companies are selected for studies which issue both A- and H-shares. Two study models are proposed. The first model assumes the speculative component is positively related to turnover. The second model assumes the speculative component is negative related to asset float. Results indicate that the differential risk hypothesis can explain the existence of A-H share price premium. Evidences suggest that the prices of different types of shares issued by same company can differ if the shares are traded in a perfectly segmented market. Paragraph Headings: 1. Bakground 2. Motivation of the study 3. Research method 4. Literature review 4.1. Previous studies on information asymmetry 4.2. Previous studies of differential demand 4.3. The differential risk hypothesis 4.4. Model 1-Stock price and turnovers 4.5. Model 2-Share turnover and asset float 5. Methodology 5.1. Sample population and size 5.2. Data of selected dual-listed companies 5.3. Data for model 1 5.4. Data for model 2 6. Results 6.1. Analysis of cross-sectional regression in model 1 Tables: 1. Number of Chinese cross-listed companies issued different shares 2. Details of selected dual-listed companies 3. Data for model 1 4. Data for model 2