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Faculty Selected Works of Yiuman Tse
Article
Price disparity between Chinese A- and H-shares: Dividends, currency values, and the interest rate differential
Global Finance Journal (2021)
  • Feng Jiao
  • Qingfu Liu, Fudan University
  • Yiuman Tse, University of Missouri-St. Louis
  • Zhiqin Wang
Link
Abstract
We provide new evidence on price disparity between Chinese A- and H-shares for cross-listed companies in the period 2006–2019. Our panel-data results show that the A-share price premium is negatively related to cash dividends and expected relative currency values between mainland China and Hong Kong. International investors in H-shares prefer companies that pay dividends regularly, and they buy when the Chinese currency is expected to appreciate. A discounted dividend theoretical model explains these results.


Keywords
  • Chinese A- and H-shares,
  • Market segmentation,
  • Price disparity
Disciplines
Publication Date
2021
DOI
10.1016/J.GFJ.2021.100619
Citation Information
Feng Jiao, Qingfu Liu, Yiuman Tse and Zhiqin Wang. "Price disparity between Chinese A- and H-shares: Dividends, currency values, and the interest rate differential" Global Finance Journal (2021)
Available at: http://works.bepress.com/yiuman-tse/140/