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Analysis of Price Differences Between A and H Shares

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Abstract

The price difference between A share trading in the Mainland and H share trading in Hong Kong of the same company has been prevailing since inception. Studying the differences could be useful in understanding dissimilarity between the two markets. This paper is devoted to analyze certain company specific and market factors that may influence premiums between A and H shares. An appropriate factor model is built based on a sample from 63 listed companies in both markets from January 2014 to June 2017. Our factors are useful to explain premium variations. In addition to typical market and company specific factors, it is found premium levels are significantly related to the industry sector in general. Meanwhile, it is observed that premiums of many shares are becoming narrower in recent years, which might pave the way to convergence after closer links between the Mainland and Hong Kong stock exchanges.

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Authors and Affiliations

  1. Department of Applied Mathematics, The Hong Kong Polytechnic University, Hunghom, Hong Kong, People’s Republic of China

    Y. Bai, W. M. Tang & K. F. C. Yiu

Authors
  1. Y. Bai
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  2. W. M. Tang
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  3. K. F. C. Yiu
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Correspondence to K. F. C. Yiu.

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Appendix

Appendix

See Tables 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22 and 23.

Table 5 Summary of 63 pairs AH stocks
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Table 6 Descriptive statistic for sample in Consumer Goods sector
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Table 7 Descriptive statistic for sample in consumer services sector
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Table 8 Descriptive statistic for sample in energy sector
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Table 9 Descriptive statistic for sample in financials sector
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Table 10 Descriptive statistic for sample in industrials sector
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Table 11 Descriptive statistic for sample in information technology sector
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Table 12 Descriptive statistic for sample in materials sector
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Table 13 Descriptive statistic for sample in properties and construction sector
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Table 14 Descriptive statistic for sample in utilities sector
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Table 15 Summary of regression model for Consumer Goods
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Table 16 Summary of regression model for consumer services
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Table 17 Summary of regression model for energy
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Table 18 Summary of regression model for financials
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Table 19 Summary of regression model for industrials
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Table 20 Summary of regression model for information technology
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Table 21 Summary of regression model for materials
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Table 22 Summary of regression model for properties and construction
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Table 23 Summary of regression model for utilities
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Bai, Y., Tang, W.M. & Yiu, K.F.C. Analysis of Price Differences Between A and H Shares. Asia-Pac Financ Markets 26, 529–552 (2019). https://doi.org/10.1007/s10690-019-09277-1

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  • DOI: https://doi.org/10.1007/s10690-019-09277-1

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