On the Comovement of A and H Shares
AbstractUsing 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by M.E. Sharpe, Inc. in its journal Chinese Economy.
Volume (Year): 39 (2006)
Issue (Month): 5 (October)
Contact details of provider:
Web page: http://mesharpe.metapress.com/link.asp?target=journal&id=110901
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Richard C. K. Burdekin & Pierre L. Siklos, 2011.
"Enter the Dragon: Interactions between Chinese, US and Asia-Pacific Equity Markets, 1995-2010,"
CAMA Working Papers
2011-35, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- 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.
- Richard C. K. Burdekin & Pierre L. Siklos, 2011. "Enter the Dragon: Interactions between Chinese, US and Asia-Pacific Equity Markets, 1995-2010," Working Papers 232011, Hong Kong Institute for Monetary Research.
- 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.
- 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.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Nguyen).
If references are entirely missing, you can add them using this form.