An Investigation On The Price Differences Between A Shares And H Shares Of Dual-listed Companies

Chinese stock markets have attracted a lot of attention from investors, finance analysts and academic scholars for their fast growth and their unique features of market segmentation in recent years. The dissertation is to focus on the phenomenon of A shares trading at premium over their H share counterparts.Theoretically, I indicate that the different location of listing, evaluation methods, demand elasticity and information asymmetry were main factors for explaining the discount of H shares relative to A shares in almost times.After making researches on 56 dual-listing companies by different groups, I found that those companies with large cap and high net income are trading at smaller premium over H share counterparts than the others. Companies in the industry of finance, insurance, mental and non-mental are exhibiting lower premium.Empirically, I use weekly returns of nine sample companies in the period from 2007-1-12 to 2008-12-26 to analyze Lead-Lag effect in order to study the problem of information asymmetry. The serial stationary test on weekly returns suggests that both A and H shares markets are weak-form efficient. The Granger causality test suggests that the lead-lag relation exists between some A shares and H shares and proves that the problem of information asymmetry does exist.