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Share Price Disparity in Chinese Stock Markets

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Author Info

  • Tom Fong

    (Research Department, Hong Kong Monetary Authority)

  • Alfred Wong

    (Research Department, Hong Kong Monetary Authority)

  • Ivy Yong

    (External Department, Hong Kong Monetary Authority)

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    Abstract

    The presence of price disparity between A- and H- shares suggests that the two markets are segmented and thus allocation of capital is inefficient. In this paper, we attempt to identify the factors contributing to the price disparity, with a view to helping policymakers find solutions to the problem. Our results suggest that the disparity is caused by a combination of micro and macro factors. The fact that some of these factors are found to have played a crucial role in determining the disparity implies that reforms that can remove or reduce the segmentation can potentially bring considerable benefits by improving price discovery and market efficiency.

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    File URL: http://www.info.gov.hk/hkma/eng/research/working/pdf/HKMAWP07_11_full.pdf
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    Bibliographic Info

    Paper provided by Hong Kong Monetary Authority in its series Working Papers with number 0711.

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    Length: 25 pages
    Date of creation: Jul 2007
    Date of revision:
    Handle: RePEc:hkg:wpaper:0711

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    Related research

    Keywords: Price disparity; Chinese stock markets; Panel data analysis; Synchronisation; Dynamic correlation;

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    Cited by:
    1. Jess K.-Y. Lee & Alfred Y.-T. Wong, 2012. "Impact of financial liberalisation on stock market liquidity: experience of China," Journal of Chinese Economic and Foreign Trade Studies, Emerald Group Publishing, vol. 5(1), pages 4-19, February.

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