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The AH price Empirical research

Author: ChenYanHong
Tutor: WangXiaoZu
School: Fudan University
Course: Business management
Keywords: A shares H shares Spread
CLC: F832.51
Type: Master's thesis
Year: 2008
Downloads: 300
Quote: 0
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Abstract


With the increasing development of China's capital market, more and more investors will turn their attention to China's stock market; the other hand, Chinese enterprises seeking overseas markets financing channels to meet the needs of enterprises to broaden development funds, the Hong Kong stock market has become a lot of mainland enterprise the first choice for overseas financing, the AH share growing ranks. However, compared to other emerging markets, foreign shares relative to domestic shares of the premium phenomenon, the Chinese market is just the opposite. Domestic A shares over for foreign H shares has been maintained premium and premium levels have gone up the past two years, China's stock split share structure reform after bullish. Since previous studies remain before the split share structure reform, therefore, under the new market conditions, analyze the significance of China's stock market this unique phenomenon of domestic shares premium for domestic and foreign investors and market regulators have a good . Because of all the Chinese market supervision and control of capital flows, both domestic investors, foreign investment or foreign investors to invest in China's stock market are subject to very strict regulation and restriction on the A-share market and the H-share market there are significant degree of market segmentation, resulting in the same shares different price phenomenon also reflects the differences in the two investor awareness of the value of the company. Mainly from the two major aspects to proceed with the analysis of the the AH price difference the determinants. First, the macro-level factors, the main expectation of RMB appreciation, the differences of the two investors risk-free rate of return on investment, as well as the A-share market and the H-share market, the market index as the sum of the two market systemic risk. From 2006.1 to 2008.1 days of data, time-series regression on the A-share and H share price difference and the above factors, the expected appreciation of the renminbi and the two market indices to explain the spread, the A-share market index to explain the strongest. In addition, we also studied the H-share market for A shares and H shares market Beta value derived H shares mainly by the Hong Kong market systemic factors specific to the A-share market systemic risk that led to the A-share market for H shares limited impact. On the other hand, the paper company level factors for the extent of the spread between the different companies. Main factors: the relative supply liquidity differences, volatility differences, corporate governance, and financial performance. Sectional regression model, the spread sequence with the number of outstanding shares of each company's ratio, turnover ratio, the standard deviation ratio, the proportion of state restrictions shares, the total market capitalization and earnings per share rate of return, found that although the coefficient of the positive and negative directions and theoretical studies. coincide, but the coefficient is not significant. The shorter sample observation time may be one of the reasons This paper aims to study the share reform after the factor of the market itself, due to the short history of the development of the stock market, investors lack of experience and understanding of the stock market, institutional investors vacancies and other factors, led investors do not have a correct understanding of the risks and benefits of the stock market, the lack of the correct value investment philosophy. On the other hand, due to the split share structure reform for the market to promote and improve investor wealth accumulation and limited investment channels in the domestic capital market, stock market previously been underestimated downturn were given excessive attention, which eventually led to another extreme overheated investment investors ignored the basic factors that affect the company's stock value, the generally overvalued stocks and the market reflects the unique systemic risk in the A-share market, makes it special market circumstances explain the AH price difference most powerful factor. AH shares in the A-share market overheating conditions under the widening spreads, made several recommendations to promote the linkage of the two markets, helping the A-share market to become more rational, narrowing spreads. The recommendations include: widen the investment channels to foster institutional investors in order to establish the correct investment philosophy, and to accelerate the advance of the \

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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