The Determinants of the Premium of China A Shares Relative to Hong Kong H Shares

• Main Authors: Jui-Chi Kang, 康瑞淇
• Other Authors: Chien-Fu Lin
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/13083726038824926910

碩士 === 國立臺灣大學 === 經濟學研究所 === 100 === Due to differences of market characteristics in terms of market condition, investor structure and inconvertibility between A shares and H shares, prices on A shares and H shares representing the same company are different. Normally A shares are higher than H shares. This study discusses about the price premiums of Chinese A shares relative to Hong Kong H shares among 55 dual-listed firms. By using theory of financial management and microeconomics, we find out the several influential determinants of A shares premiums. Our empirical results show that A shares premiums can be explained by elasticity of demand, market liquidity, asymmetric information, risk appetite, RMB appreciation expected, and one variable of CSI 300 from market effect. While the other variable of H shares index from market effect is not significantly relative to A shares premiums. And only one variable, risk-free rate is not consistent with our expectation.