Analysis of Price Differences Between A and H Shares

Y. Bai, W. M. Tang, K. F.C. Yiu

Research output: Journal article publicationJournal articleAcademic researchpeer-review

Abstract

The price difference between A share trading in the Mainland and H share trading in Hong Kong of the same company has been prevailing since inception. Studying the differences could be useful in understanding dissimilarity between the two markets. This paper is devoted to analyze certain company specific and market factors that may influence premiums between A and H shares. An appropriate factor model is built based on a sample from 63 listed companies in both markets from January 2014 to June 2017. Our factors are useful to explain premium variations. In addition to typical market and company specific factors, it is found premium levels are significantly related to the industry sector in general. Meanwhile, it is observed that premiums of many shares are becoming narrower in recent years, which might pave the way to convergence after closer links between the Mainland and Hong Kong stock exchanges.

Original languageEnglish
Pages (from-to)529-552
Number of pages24
JournalAsia-Pacific Financial Markets
Volume26
Issue number4
DOIs
Publication statusPublished - 4 Dec 2019

Keywords

  • AH premium
  • Factor model
  • Stock market segmentation

ASJC Scopus subject areas

  • Finance

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