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A Study on the Cointegration and Price Discovery of A-share and H-share Markets

Author: LiuYan
Tutor: ChenYong
School: Hunan University
Course: Finance
Keywords: cross listing price discovery cointegration Permanent TransitoryModel Information Share Model
Type: Master's thesis
Year: 2013
Downloads: 36
Quote: 0
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With the trend of domestic corporations getting listed in Hong Kong, it hasincreasingly become a common choice t o go public on stock markets in both mainlandChina and Hong Kong. Thus, the price differences within have obtained attention ofmany researchers.While a certain asset is traded on several different marketssimultaneously, however, we should take another i mportant issue into consideration.That is the ability of different markets to price traded assets with the highest accuracy.Given that price discovery and price information are generally considered as the mainfunction and production of stock markets, researches regarding how to value theirability of price discovery and their share of information have practical significance.In this dissertation, stocks both listed in mainland China and Hong Kong areinvestigated theoretically and empirically. The main o bjective is to discover the pricediscovery of these two markets using Permanent Transitory Model and InformationShare Model. Firstly, this dissertation sums up the theory about stock price discovery,and combins the theory with the differences between A-share and H-share markets toanalyses the effect on the stock price discovery. In addition, this dissertation analysesthe Permanent Transitory Model and Information Share Model theoretically. Takingthe coefficient of cointegration equation into consideration, we change the variablesand amend the estimate outcomes of these two models. And then applying these twomodels amended into practical analysis.This dissertation notices that the Permanent Transitory Model is affected by itwhile the Information Share Model isn’t. And find that the price discoverycontributions of A-share and H-share market are the same. And then explain thisresult by the factors of market microstructure, market segmentation, home marketeffect and global center effect.

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