Share Price Disparity in Chinese Stock Markets
AbstractThe 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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Bibliographic InfoPaper provided by Hong Kong Monetary Authority in its series Working Papers with number 0711.
Length: 25 pages
Date of creation: Jul 2007
Date of revision:
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Price disparity; Chinese stock markets; Panel data analysis; Synchronisation; Dynamic correlation;
Find related papers by JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-09-09 (All new papers)
- NEP-CNA-2007-09-09 (China)
- NEP-FMK-2007-09-09 (Financial Markets)
- NEP-TRA-2007-09-09 (Transition Economics)
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- 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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