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Price disparity between Chinese A- and H-shares: Dividends, currency values, and the interest rate differential

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  • Jiao, Feng
  • Liu, Qingfu
  • Tse, Yiuman
  • Wang, Zhiqin

Abstract

We provide new evidence on price disparity between Chinese A- and H-shares for cross-listed companies in the period 2006–2019. Our panel-data results show that the A-share price premium is negatively related to cash dividends and expected relative currency values between mainland China and Hong Kong. International investors in H-shares prefer companies that pay dividends regularly, and they buy when the Chinese currency is expected to appreciate. A discounted dividend theoretical model explains these results.

Suggested Citation

  • Jiao, Feng & Liu, Qingfu & Tse, Yiuman & Wang, Zhiqin, 2022. "Price disparity between Chinese A- and H-shares: Dividends, currency values, and the interest rate differential," Global Finance Journal, Elsevier, vol. 53(C).
    • Handle: RePEc:eee:glofin:v:53:y:2022:i:c:s104402832100017x
    DOI: 10.1016/j.gfj.2021.100619
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    More about this item

    Keywords

    Chinese A- and H-shares; Market segmentation; Price disparity;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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