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ID: 190160

Market Reaction to Cross-border Listings: Evidence from AH Listed Firms / Zhang, John Fan

Zhang, John Fan	Journal Article
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Summary/Abstract

This study examines the abnormal returns of Chinese firms dual-listed on the Chinese mainland (A-share) and Hong Kong SAR (H-share) stock markets. The results show that abnormal returns are more significant for the existing H-share firms cross-listing back as (H-to-A cross-listings) than for those that are the other way around (A-to-H cross-listings). Further, the A-share market is more responsive to announcements, whereas the H-share market is more responsive to actual listings. The analysis of the underlying mechanisms reveals that the abnormal returns of A-to-H cross-listings are associated with improved information. In contrast, the abnormal returns of H-to-A cross-listings are related to an increase in valuation. Significant abnormal returns for H-to-A cross-listings are driven mainly by reduced systematic risks and are more pronounced in the post-1997 period. Overall, these results suggest that investors generally respond positively to AH dual listings of Chinese firms.

Key Words

China ; Cross-Listing ; Abnormal Return ; Corporate Strategy ; Emerging Stock Market

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ID: 186221

Premiums between Cross-listed Shares: Determinants and Assessment of Financial Reform Policy Effectiveness / Zhang, Xuechun ; Liu, Xue ; Xu, Ruihui

Xuechun Zhang,Ruihui Xu,Xue Liu	Journal Article
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Summary/Abstract

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.

Key Words

American Depositary Receipt ; A-Share ; Cross-Listing ; Financial Openness ; Foreign Exchange Rate ; H-Share

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