Share Price Disparity in Chinese Stock Markets
25 Pages Posted: 27 Sep 2007
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: Suggested Citation
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