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On the Comovement of A and H Shares

Listed author(s):
  • Terence Tai-Leung Chong
  • Qian Su

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.

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Article provided by Taylor & Francis Journals in its journal Chinese Economy.

Volume (Year): 39 (2006)
Issue (Month): 5 (October)
Pages: 68-86

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Handle: RePEc:mes:chinec:v:39:y:2006:i:5:p:68-86
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