Tom Fong (Research Department, Hong Kong Monetary Authority) Alfred Wong (Research Department, Hong Kong Monetary Authority) Ivy Yong (External Department, Hong Kong Monetary Authority)
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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Publisher Info
Paper provided by Hong Kong Monetary Authority in its series Working Papers with number
0711.