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How Does the Shanghai-Hong Kong Stock Connect Policy Impact the A-H Share Premium?

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  • Junchang Pan
  • Jing Chi

Abstract

Using a monthly panel data of 56 cross-listed companies from November 2011 to November 2017, this study finds that the Shanghai-Hong Kong Stock Connect Policy significantly reduces the A-H share premium and price disparity after controlling for various factors. In addition, with the recent availability of the fund flow data between the two markets, this paper provides the new evidence that the imbalanced demand of these two markets is a main explanation for the A-H share premium variations.

Suggested Citation

  • Junchang Pan & Jing Chi, 2021. "How Does the Shanghai-Hong Kong Stock Connect Policy Impact the A-H Share Premium?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(7), pages 1912-1928, May.
    • Handle: RePEc:mes:emfitr:v:57:y:2021:i:7:p:1912-1928
    DOI: 10.1080/1540496X.2019.1694899
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    Cited by:

    1. Jansen, Maarten & Swinkels, Laurens & Zhou, Weili, 2021. "Anomalies in the China A-share market," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    2. Kin Ming Wong & Kwok Ping Tsang, 2023. "Inclusions and Exclusions of Stocks in Cross-Border Investments: The Case of Stock Connect," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(4), pages 701-727, December.

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