| Summary: | 碩士 === 國立東華大學 === 國際經濟研究所 === 95 === This paper uses the Gregory and Hansen's (1996 cointegration tests with structural changes to examine the long-run equilibrium relationship between A- and B-share in
Shanghai and Shenzhen stock exchanges concerning the financial reform policy in Chinese stock market. Furthermore, we also investigate the impact of B-share opening, QFII rule and shares reform on the B-share price discounts. We show that the co-movement between A- and B-share prices can not be supported by conventional Engle-Granger cointegration test or Johansen's maximum likelihood cointegration test. This implies that A- and B-share markets are segmented. However, using Gregory and Hansen's (1996) cointegration test with structural change indicate there is a cointegration relationship between the A- and B-share prices in Chinese Shanghai and Shenzhen stock markets. Finally, we employ the panel data model to explain the determinants of the B-share price discounts. We find that the differential liquidity hypothesis is a major factor in explaining B-share price discount in Shanghai and Shenzhen stock exchanges. The influence of differential liquidity is more significant in financial reform period.
In addition, our empirical results also show that the differential demand hypothesis and asymmetric information hypothesis also provide a significant explanation as to B-share price discounts.
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