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Share Price Disparity in Chinese Stock Markets


  • Tom Fong

    (Research Department, Hong Kong Monetary Authority)

  • Alfred Wong

    (Research Department, Hong Kong Monetary Authority)

  • Ivy Yong

    (External Department, Hong Kong Monetary Authority)


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.

Suggested Citation

  • Tom Fong & Alfred Wong & Ivy Yong, 2007. "Share Price Disparity in Chinese Stock Markets," Working Papers 0711, Hong Kong Monetary Authority.
  • Handle: RePEc:hkg:wpaper:0711

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    Cited by:

    1. 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.

    More about this item


    Price disparity; Chinese stock markets; Panel data analysis; Synchronisation; Dynamic correlation;

    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

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