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ID186221
Title ProperPremiums between Cross-listed Shares
Other Title InformationDeterminants and Assessment of Financial Reform Policy Effectiveness
LanguageENG
AuthorXuechun Zhang,Ruihui Xu,Xue Liu ;  Zhang, Xuechun ;  Liu, Xue ;  Xu, Ruihui
Summary / Abstract (Note)This paper explores determinants of price premiums between A-share and American depositary receipts (ADR) or H-share and sheds light on policies using daily data from cross-listed companies from 2002–2020. Market sentiment and financial openness are critical in explaining both types of price premiums. Expected exchange rate changes significantly impact the A-share versus ADR premium but liquidity is essential for the A-share versus H-share premium. The introduction of Shanghai–Hong Kong Stock Connect in November 2014 has effectively increased the price discovery capacity of the A-share market, and investors were more adaptive to the RMB foreign exchange rate volatility after Chinese exchange rate system reform in 2015. The paper provides insights into future capital market reform in China.
`In' analytical NoteChina and World Economy Vol. 30, No.3; May-Jun 2022: p.75-99
Journal SourceChina and World Economy Vol: 30 No 3
Key WordsAmerican Depositary Receipt ;  A-Share ;  Cross-Listing ;  Financial Openness ;  Foreign Exchange Rate ;  H-Share


 
 
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