Valuation Efficiency And Valuation Model Analysis Across Market Based On Cross Listing And The Economic Consequences Of The Behavior Of Cross Listing

Since the 1990s, with the growing trend of economic globalization and financial liberalization, the amount of cross listing corporations has been remarkably increased across the world. Although the study on the classic hypothesis and the demonstration examination has been mature, some phenomenon which cannot be explicated by traditional theories has appeared. Globally, the cross listing corporations in developing countries are notable. Particularly the special structure of Chinese capital market and the sequences of cross listing has aroused comprehensive attention. While it is still controversial whether cross listing brings real benefits to the market and corporations, the study on relative efficiency across Chinese cross listing markets and valuation method is in deficiency.This paper reveals the relative efficiency and valuation mode based on the samples of Chinese cross listing shares, using the demonstration examinations with theoretical analysis, as well as the study of the economic impact of cross listing on the original market and corporations. It mainly consists of the following three parts:1) Based on Fama-French three-factor model and Campbell relative valuation idea, this paper innovatively construct production function among share price and valuation factors by the application of SFA theory, as well as the study of developing trend of relative efficiency and valuation mode between mainland and Hongkong market based on SFA technical efficiency and function coefficients with the samples of A+H shares. The results show that Hongkong market is more efficient than mainland market, and the link between the two markets is growing stronger by time. Honkong investors pay more attention to growth factors of shares, while investors in mainland aim more at speculative factors of shares.2) This section classifies A+H and A+B shares separately according to the cross listing sequence to examines the short-term consequences of cross listing. The result shows that with the specificity in Chinese cross listing. neither A+H nor A+B corporations can verify the ’binding hypothesis’, and there is still the segmentation and the information delay between A and B shares still exist, but the linkage between mainland China and Hongkong is stronger than that between A and B shares.3) This section bases on A+H, A+B, and A+H+N listed corporations and the companies which only issue A shares according to industry classification and listing time, using regression of panel data from 1993 to 2013 in order to verify the existence of market segmentation and to measure the valuation premium of corporations brought by different listing locations. The results show that there still is obvious segmentation between mainland, Hongkong and the US; The companies cross listed in mainland and Hongkong gains a higher premium than those which issue A and B shares; The valuation premium of companies which only issued A shares is less than those cross listed abroad, but more than those issuing A and B shares.