所属栏目:资本市场/市场微观结构

Market Segmentation and Price Differentials between A Shares and H Shares in the Chinese S
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发布日期:2008年05月03日 上次修订日期:2008年05月03日

摘要

In this article we offer an explanation for price differentials between A and H shares based on the conventional asset pricing theory. 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. We show that discounts on H shares relative to A shares are highly related to the contemporaneous discounts of H-share local market index relative to A-share local market index, as well as the spread of Hong Kong savings interest rate to Mainland China. The evidence suggests that the risk premiums associated with the segmented A- and H-share markets exert crucial impacts on the price differentials between the two classes of shares. The results thereby indicate that the movements of price discounts of H shares owned by non-Mainland investors in the Chinese stock markets is in accord with the rationality of Chinese investors.
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Market Segmentation

Yuming Li; Daying Yan Market Segmentation and Price Differentials between A Shares and H Shares in the Chinese S (2008年05月03日) https://www.cfrn.com.cn/lw/11657

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