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The relative pricing of cross-listed securities: The case of Chinese A- and H-share

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  • Zheng, Yao
  • Osmer, Eric
  • Zheng, Liancun

Abstract

In this paper, we use a sample of Chinese companies cross-listed in the A- and H-share markets and investigate the impact of liquidity and transparency on the H-share discount. We find that higher relative illiquidity of H-shares is associated with a higher H-share discount, relative to A-shares. In addition, more actively traded A-shares and infrequently traded H-shares are associated with a higher H-share discount. We also find that an increase in the number of analysts following a firm, firms with a higher percentage of A-share holdings by mutual funds, as well as firms audited by the Big 4 accounting firms are all associated with a smaller H-share discount. Overall, the results provide support for the notion that liquidity and transparency affect the relative pricing of A- and H-shares.

Suggested Citation

  • Zheng, Yao & Osmer, Eric & Zheng, Liancun, 2018. "The relative pricing of cross-listed securities: The case of Chinese A- and H-share," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 297-310.
    • Handle: RePEc:eee:quaeco:v:67:y:2018:i:c:p:297-310
    DOI: 10.1016/j.qref.2017.07.010
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    Cited by:

    1. Wang, Weishen, 2020. "Shanghai-Hong Kong Stock Exchange Connect Program: A story of two markets and different groups of stocks," Journal of Multinational Financial Management, Elsevier, vol. 55(C).

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    More about this item

    Keywords

    H-shares; A-shares; Market anomaly; Liquidity; Transparency;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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