Market Segmentation, Price Disparity, and Transmission of Pricing Information: Evidence from Class A and H shares of Chinese Dual-Listed Companies

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This paper examines the transmission of pricing information and the volatility of dual-listed stocks between class A and H shares of Chinese companies. First, using firm level data, we show that there is a large price discount for H shares relative to the A shares. Second, when we divide the firms into a high price disparity group and a low price disparity group, we find that the high price disparity group’s pricing information transmission is stronger than the low price disparity group during the pre-liberalization period (in terms of significant mean coefficients). Third, when we divide the entire sample period into a pre-liberalization period and a post-liberalization, we find that the mean value spillover is stronger during the post-liberalization period for the low price disparity group. Finally, we report that during the post-liberalization period, the volatility spillover increases from A shares to H shares while it decreases from H shares to A shares. This implies that there is an information advantage of H shares, disappearing with the liberalization of A shares
Publisher
Scientific Research Publishing Inc
Issue Date
2015-09
Language
English
Citation

Journal of Financial Risk Management, v.4, no.3, pp.124 - 142

ISSN
2167-9533
DOI
10.4236/jfrm.2015.43011
URI
http://hdl.handle.net/10203/205591
Appears in Collection
RIMS Journal Papers
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