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On the Comovement of A and H Shares

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  • Terence Tai-Leung Chong
  • Qian Su

Abstract

Using intraday high-frequency data, this article investigates the comovement between the A shares and H shares of twenty-one cross-listed Chinese companies. It is found that only a small portion of the cross-listed Chinese companies have a comovement in their A- and H-share prices. The results suggest that the stock markets of China and Hong Kong are segmented. For the comoving stocks, the China stock market plays a major role in the price discovery contribution. We also find that companies that have a relatively liquid H-share market tend to have a comovement in their A- and H-share prices, and that the A-share price seems to play a more important role in finding the implicit efficient price for cross-listed stocks.

Suggested Citation

  • Terence Tai-Leung Chong & Qian Su, 2006. "On the Comovement of A and H Shares," Chinese Economy, Taylor & Francis Journals, vol. 39(5), pages 68-86, October.
    • Handle: RePEc:mes:chinec:v:39:y:2006:i:5:p:68-86
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    Citations

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    Cited by:

    1. Wang, Qiyu & Chong, Terence Tai-Leung, 2018. "Co-integrated or not? After the Shanghai–Hong Kong and Shenzhen–Hong Kong Stock Connection Schemes," Economics Letters, Elsevier, vol. 163(C), pages 167-171.
    2. Arquette, Gregory C. & Brown Jr., William O. & Burdekin, Richard C.K., 2008. "US ADR and Hong Kong H-share discounts of Shanghai-listed firms," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1916-1927, September.
    3. Chun Liu & John M Maheu, 2010. "Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market," Working Papers tecipa-401, University of Toronto, Department of Economics.
    4. Burdekin, Richard C.K. & Siklos, Pierre L., 2012. "Enter the dragon: Interactions between Chinese, US and Asia-Pacific equity markets, 1995–2010," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 521-541.
    5. Liu, Chun & Maheu, John M., 2012. "Intraday dynamics of volatility and duration: Evidence from Chinese stocks," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 329-348.
    6. 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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