Share Price Disparity in Chinese Stock Markets

25 Pages Posted: 27 Sep 2007

See all articles by Tom Fong

Tom Fong

Hong Kong Monetary Authority

Alfred Wong

Hong Kong Monetary Authority

Ivy Yong

Hong Kong Monetary Authority

Date Written: July 31, 2007

Abstract

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.

Keywords: Price disparity, Chinese stock markets, Panel data analysis

JEL Classification: C23, F36, G10, G12

Suggested Citation

Fong, Tom and Wong, Alfred and Yong, Ivy, Share Price Disparity in Chinese Stock Markets (July 31, 2007). Available at SSRN: https://ssrn.com/abstract=1017449 or http://dx.doi.org/10.2139/ssrn.1017449

Tom Fong (Contact Author)

Hong Kong Monetary Authority ( email )

55/F, Two International Finance Centre, Central
Hong Kong
Hong Kong

Alfred Wong

Hong Kong Monetary Authority ( email )

3 Garden Road, 30th Floor
Hong Kong
Hong Kong

Ivy Yong

Hong Kong Monetary Authority ( email )

3 Garden Road, 30th Floor
Hong Kong
Hong Kong

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