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Modeling Price Differentials between A Shares and H Shares on the Chinese Stock Market

Li, Manshu and Xu, Dandan (2008)
Department of Economics
Abstract
In this paper, we model the price differentials between A shares and H shares in the Chinese stock markets with both macroeconomic factors and firm specific factors, which successfully explain the A share price premium. 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, the spread of interest rates and inflation rates between Hong Kong and mainland China as well as firm size, liquidity and volatility of the stock. A share price premium has decreased after the launch of QFII which aims at integration of Chinese stock markets. However, we cannot conclude that these markets are integrated.
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author
Li, Manshu and Xu, Dandan
supervisor
organization
year
type
H1 - Master's Degree (One Year)
subject
keywords
A-share price premium, Panel data analysis, QFII, Economics, econometrics, economic theory, economic systems, economic policy, Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik
language
English
id
1334833
date added to LUP
2008-06-06
date last changed
2010-08-03 10:51:46
@misc{1334833,
  abstract     = {In this paper, we model the price differentials between A shares and H shares in the Chinese stock markets with both macroeconomic factors and firm specific factors, which successfully explain the A share price premium. 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, the spread of interest rates and inflation rates between Hong Kong and mainland China as well as firm size, liquidity and volatility of the stock. A share price premium has decreased after the launch of QFII which aims at integration of Chinese stock markets. However, we cannot conclude that these markets are integrated.},
  author       = {Li, Manshu and Xu, Dandan},
  keyword      = {A-share price premium,Panel data analysis,QFII,Economics, econometrics, economic theory, economic systems, economic policy,Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik},
  language     = {eng},
  note         = {Student Paper},
  title        = {Modeling Price Differentials between A Shares and H Shares on the Chinese Stock Market},
  year         = {2008},
}