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The Research On The Price Difference Between Domestic Shares And Foreign Shares Of Stock Market Segmentation Of China

Posted on:2007-06-05Degree:DoctorType:Dissertation
Country:ChinaCandidate:D H HuFull Text:PDF
GTID:1119360212976731Subject:Business management
Abstract/Summary:PDF Full Text Request
Based on finance theories, the paper takes empirical approaches to study the difference between the prices of stocks dual-listed in segment markets. The paper studies the pricing efficiency in the different IPO markets and different liquity between different Chinese shares. Firstly, different shares issued by same companies are proved to have different IPO prices and underpricing by paired-samples test.The author does a theoretical research on factors that could cause the pricing difference between a company's A-share and H-share or A-share and B-share. The theoretical findings are tested by empirical studies. The factors that affect the IPO pricing difference include the interval between domestic and foreign IPOs of a company, the PE of A-share market, supply and demand for shares, exchange etc. H-share and B-share IPO markets are more efficiency than A-share IPO market that is shown by the differences of underpricing, the correlation between the IPO price of A-share and the issue time of B-share or H-share, the trend of relative underpricing after the listing.Autocorrelation test shows that the trading prices difference between A-share ang B-share(or H-share) becomes asymptotic and tend to stability. Via a factor analysis and empirical study on the difference of trading price, the author finds out the reasons that are asymmetrical information, liquidity and systematic factors including corporate governance. The asymmetrical information is reduced to make the trading prices asymptotic. The trading prices difference tends to stability because market liquity and corporate governance are difficult to be improved in short time.
Keywords/Search Tags:market segmentation, price difference, pricing efficiency, liquidity
PDF Full Text Request
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