IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v29y2022i15p1428-1433.html
   My bibliography  Save this article

Does the Shanghai-Hong Kong stock connect policy reduce China’s A-H share price premium?

Author

Listed:
  • Wei Zhang
  • Haifeng Li
  • Shuang Cao

Abstract

The Shanghai-Hong Kong Stock Connect programme provides a perfect experimental setting to test cross-listing theories. Using daily panel data of 54 firms dually listed on the Shanghai A-share and Hong Kong H-share markets from 4 January 2011 to 29 November 2019, this paper investigates the effect of the programme on A-H premium. The results demonstrate that the programme did not narrow the A-H valuation gaps, but rather significantly promoted the premium. The results also confirm the conventional arguments of information asymmetry, demand differential, and investors’ risk preference differential, which are proposed to explain price disparities between dual-listed stocks, but challenge liquidity differential and market risk differential hypotheses.

Suggested Citation

  • Wei Zhang & Haifeng Li & Shuang Cao, 2022. "Does the Shanghai-Hong Kong stock connect policy reduce China’s A-H share price premium?," Applied Economics Letters, Taylor & Francis Journals, vol. 29(15), pages 1428-1433, September.
    • Handle: RePEc:taf:apeclt:v:29:y:2022:i:15:p:1428-1433
    DOI: 10.1080/13504851.2021.1937489
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2021.1937489
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504851.2021.1937489?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:29:y:2022:i:15:p:1428-1433. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.