Market segmentation and price differentials between A shares and H shares in the Chinese stock markets [An article from: Journal of Multinational Financial Management]

This digital document is a journal article from Journal of Multinational Financial Management, published by Elsevier in 2006. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
We find that the risk premiums associated with the Hong Kong and mainland Chinese markets in a two-factor model successfully explain the cross section of returns on the A and H shares. Discounts of H-share prices relative to A-share prices are related to the contemporaneous movements of the H-share local market index relative to the A-share local market index, especially during the period of the Asian financial crisis, as well as the spread of savings rates between Hong Kong and mainland China. The evidence suggests that the risk premiums associated with the segmented A-share and H-share markets exert crucial impacts on the price differentials between the two classes of shares.