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A H shares of dual-listed companies spread Issues

Author: HuZuoZuo
Tutor: ZhangZuGuo
School: East China Normal University
Course: World economy
Keywords: Dual listed company Market Segmentation Elasticity of demand Information asymmetry Lead-lag effect
CLC: F832.51
Type: Master's thesis
Year: 2009
Downloads: 223
Quote: 1
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Abstract


China 's stock market in recent years, the rapid development of market segmentation and unique features to attract investors, financial analysts and scholars. This paper explored the dual listed company spreads AH Shares reasons for the formation and performance characteristics . In the theoretical analysis , this paper considers factors listed locations , valuation methodology factors , differences in elasticity of demand and asymmetric information and other factors led to the A share price is higher than in most of the H-share price . Through the 56 shares of dual-listed company AH subgroup analysis found that: premium rate levels and performance of listed companies and market capitalization has a close relationship , generally larger capitalization companies better performance premium rate lower level ; premium rate levels showed more significant industry characteristics , finance and insurance industry , metal and nonmetal industry a-share premium rate level is low. In the empirical study baking , select nine sample companies , the use of 12 January 2007 to December 2008 26 weeks Yield Data Analysis A share and H share price price lead-lag effect, examine information asymmetry in both markets problem . By 9 Company's A shares and H shares stationary test sequences found that they meet the definition of an efficient market is weak , then through the Granger causality test found in some stocks in the lead-lag effect , verify the existence of information asymmetry in both markets .

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