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Share Price Disparity in Chinese Stock Markets

Listed author(s):
  • Tom Fong

    (Research Department, Hong Kong Monetary Authority)

  • Alfred Wong

    (Research Department, Hong Kong Monetary Authority)

  • Ivy Yong

    (External Department, Hong Kong Monetary Authority)

Registered author(s):

    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.

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    Paper provided by Hong Kong Monetary Authority in its series Working Papers with number 0711.

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    Length: 25 pages
    Date of creation: Jul 2007
    Handle: RePEc:hkg:wpaper:0711
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