The Impact of Shanghai-Hong Kong Stock Connect Policy on A-H Share Price Premium
Qingliang Fan, Ting Wang
Finance Research Letters
#002353 20161226 () Views:412
This paper empirically investigates the A-H share premium puzzle in the perspective of the effect of Shanghai–Hong Kong Stock Connect policy using a panel data of 55 dual-listed companies from January 4th, 2013 to December 31st, 2015. After controlling factors measuring company-specific factors, market performance and investor preferences, the empirical results show that the Shanghai–Hong Kong Stock Connect policy can significantly reduce the A-H share premium for the dual-listed companies in Shanghai and Hong Kong markets. Better corporate governance is also found to reduce the A-H share premium.
JEL-Codes: G1; G28; G3
Keywords: Market segmentation; A-H share premium; Shanghai–Hong Kong Stock Connect policy; Panel data