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Market segmentation and price differentials between A shares and H shares in the Chinese stock markets

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  • Li, Yuming
  • Yan, Daying
  • Greco, Joe
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    File URL: http://www.sciencedirect.com/science/article/B6VGV-4H5DYCX-1/2/db86b7596db5c14004a64ac4c19978bb
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Multinational Financial Management.

    Volume (Year): 16 (2006)
    Issue (Month): 3 (July)
    Pages: 232-248

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    Handle: RePEc:eee:mulfin:v:16:y:2006:i:3:p:232-248

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    Web page: http://www.elsevier.com/locate/mulfin

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    References

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    1. Ma, Xianghai, 1996. "Capital controls, market segmentation and stock prices: Evidence from the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 4(2-3), pages 219-239, July.
    2. Hietala, Pekka T, 1989. " Asset Pricing in Partially Segmented Markets: Evidence from the Finnish Market," Journal of Finance, American Finance Association, vol. 44(3), pages 697-718, July.
    3. Froot, Kenneth A. & O'Connell, Paul G. J. & Seasholes, Mark S., 2001. "The portfolio flows of international investors," Journal of Financial Economics, Elsevier, vol. 59(2), pages 151-193, February.
    4. Bailey, Warren, 1994. "Risk and return on China's new stock markets: Some preliminary evidence," Pacific-Basin Finance Journal, Elsevier, vol. 2(2-3), pages 243-260, May.
    5. Kenneth A. Froot & Emil Dabora, 1998. "How are Stock Prices Affected by the Location of Trade?," NBER Working Papers 6572, National Bureau of Economic Research, Inc.
    6. Stulz, Rene M & Wasserfallen, Walter, 1995. "Foreign Equity Investment Restrictions, Capital Flight, and Shareholder Wealth Maximization: Theory and Evidence," Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 1019-57.
    7. Domowitz, Ian & Glen, Jack & Madhavan, Ananth, 1997. " Market Segmentation and Stock Prices: Evidence from an Emerging Market," Journal of Finance, American Finance Association, vol. 52(3), pages 1059-85, July.
    8. Chen, G M & Lee, Bong-Soo & Rui, Oliver, 2001. "Foreign Ownership Restrictions and Market Segmentation in China's Stock Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(1), pages 133-55, Spring.
    9. Bailey, Warren & Jagtiani, Julapa, 1994. "Foreign ownership restrictions and stock prices in the Thai capital market," Journal of Financial Economics, Elsevier, vol. 36(1), pages 57-87, August.
    10. Bergstrom, Clas & Tang, Ellen, 2001. "Price differentials between different classes of stocks: an empirical study on Chinese stock markets," Journal of Multinational Financial Management, Elsevier, vol. 11(4-5), pages 407-426, December.
    11. Kalok Chan & Allaudeen Hameed & Sie Ting Lau, 2003. "What if Trading Location Is Different from Business Location? Evidence from the Jardine Group," Journal of Finance, American Finance Association, vol. 58(3), pages 1221-1246, 06.
    12. Lin, Anchor Y. & Swanson, Peggy E., 2004. "International equity flows and developing markets: the asian financial market crisis revisited," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(1), pages 55-73, February.
    13. Solnik, B H, 1974. "The International Pricing of Risk: An Empirical Investigation of the World Capital Market Structure," Journal of Finance, American Finance Association, vol. 29(2), pages 365-78, May.
    14. Poon, Winnie P. H. & Fung, Hung-Gay, 2000. "Red chips or H shares: which China-backed securities process information the fastest?," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 315-343, December.
    15. Sun, Qian & Tong, Wilson H. S., 2000. "The effect of market segmentation on stock prices: The China syndrome," Journal of Banking & Finance, Elsevier, vol. 24(12), pages 1875-1902, December.
    16. Bailey, Warren & Chung, Y. Peter & Kang, Jun-koo, 1999. "Foreign Ownership Restrictions and Equity Price Premiums: What Drives the Demand for Cross-Border Investments?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(04), pages 489-511, December.
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    Cited by:
    1. Luo, Yongli & Fang, Fang & Esqueda, Omar A., 2012. "The overseas listing puzzle: Post-IPO performance of Chinese stocks and ADRs in the U.S. market," Journal of Multinational Financial Management, Elsevier, vol. 22(5), pages 193-211.
    2. Odegaard, Bernt Arne, 2007. "Price differences between equity classes. Corporate control, foreign ownership or liquidity?," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3621-3645, December.
    3. Qiao, Zhuo & Chiang, Thomas C. & Wong, Wing-Keung, 2008. "Long-run equilibrium, short-term adjustment, and spillover effects across Chinese segmented stock markets and the Hong Kong stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 425-437, December.
    4. Zhang, Cinder Xinde & King, Tao-Hsien Dolly, 2010. "The decision to list abroad: The case of ADRs and foreign IPOs by Chinese companies," Journal of Multinational Financial Management, Elsevier, vol. 20(1), pages 71-92, February.
    5. Xiao-Ming Li, 2014. "Asset Pricing and Share Reforms: An Anatomy of China’s Investable Stocks," Asia-Pacific Financial Markets, Springer, vol. 21(1), pages 15-34, March.
    6. Eichler, Stefan, 2011. "Exchange rate expectations and the pricing of Chinese cross-listed stocks," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 443-455, February.

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