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Factors on A share premium with cluster analysis

Ji, Jing and Wenjia, Duan (2009)
Department of Economics
Abstract
The phenomenon of price difference between A shares and H shares of the firms in Mainland China has been of research interest for years. A shares, traded in Shanghai and Shenzhen stock exchanges with the currency of CNY (also known as Renminbi), are always traded at a premium to H shares of the same firm, which traded in Hong Kong with HKD.
On the basis of previous studies, we proposed to introduce cluster analysis as a method to identify heterogeneous data groups and classify them into different clusters accordingly. In this paper we collected data of 51 firms that issue both A shares and H shares and have completed the Share-holding System Transformation for at least one year. The firms are clustered by their characteristic in stock... (More)
The phenomenon of price difference between A shares and H shares of the firms in Mainland China has been of research interest for years. A shares, traded in Shanghai and Shenzhen stock exchanges with the currency of CNY (also known as Renminbi), are always traded at a premium to H shares of the same firm, which traded in Hong Kong with HKD.
On the basis of previous studies, we proposed to introduce cluster analysis as a method to identify heterogeneous data groups and classify them into different clusters accordingly. In this paper we collected data of 51 firms that issue both A shares and H shares and have completed the Share-holding System Transformation for at least one year. The firms are clustered by their characteristic in stock price and trading volumes.
We regressed the A share premium upon variables representing the explanation of information asymmetry, demand-supply relationships and risk preference, etc., with both static model and dynamic model. The regressions are done first with the consolidated data and then with the grouped data. By comparing the coefficient of each variable in grouped and consolidated regression, we found that the cluster analysis is efficacious, and that some explanatory variables are more consistent across groups than others. (Less)
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author
Ji, Jing and Wenjia, Duan
supervisor
organization
year
type
H1 - Master's Degree (One Year)
subject
keywords
A share and H share, price difference, cluster analysis, Economics, econometrics, economic theory, economic systems, economic policy, Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik
language
English
id
1644269
date added to LUP
2009-06-19 00:00:00
date last changed
2017-11-20 11:31:29
@misc{1644269,
  abstract     = {The phenomenon of price difference between A shares and H shares of the firms in Mainland China has been of research interest for years. A shares, traded in Shanghai and Shenzhen stock exchanges with the currency of CNY (also known as Renminbi), are always traded at a premium to H shares of the same firm, which traded in Hong Kong with HKD.
On the basis of previous studies, we proposed to introduce cluster analysis as a method to identify heterogeneous data groups and classify them into different clusters accordingly. In this paper we collected data of 51 firms that issue both A shares and H shares and have completed the Share-holding System Transformation for at least one year. The firms are clustered by their characteristic in stock price and trading volumes.
We regressed the A share premium upon variables representing the explanation of information asymmetry, demand-supply relationships and risk preference, etc., with both static model and dynamic model. The regressions are done first with the consolidated data and then with the grouped data. By comparing the coefficient of each variable in grouped and consolidated regression, we found that the cluster analysis is efficacious, and that some explanatory variables are more consistent across groups than others.},
  author       = {Ji, Jing and Wenjia, Duan},
  keyword      = {A share and H share,price difference,cluster analysis,Economics, econometrics, economic theory, economic systems, economic policy,Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik},
  language     = {eng},
  note         = {Student Paper},
  title        = {Factors on A share premium with cluster analysis},
  year         = {2009},
}