An Analysis Of The Price Difference And Cointergration Of A Stock, B Stock And H Stock Of Dual-listed Companies In Chinese Stock Market

The thesis studies the B-share and H-share discounts and the cointergration of dual-listed companies in Chinese stock market. In this paper, in light of Fame & French's method of dynamic portfolios, we categorize all the listed companies that issued both A shares and B shares in Shanghai and Shenzhen securities market into 9 portfolios ascendingly according to factor. And the portfolios are reshuffled each month. In this way, with an extensive social investigation, the factor analysis and various panel data models, we reveal that the capital and investment restrictions, the supply factor, the relative liquidity and the behavioral factor are the main reasons for the B-share price discounts. We also study the cointergration of dual-listed companies which issue A stock and B stock or A stock and H stock, we find that before 2001.2.19 when the B stocks were allowed to purchase and trade by domestic people, the A-share and B-share prices of most dual-listed companies were cointergrated, in the period, the most information is from B stocks to A stocks. After 2001.2.19, the ratios are raised and the coefficients of the error correction are increased obviously. In the period, the most information is from A stocks to B stocks. However, in the period (1997.01~2003.12), the A-share and H-share prices of most dual-listed companies were not cointergrated, this means the B-share open policy hasn't significant effort on H stocks market, the market segmentation of A-share and H-share is still serious.JEL Classification: G14; G32...