Abstract
ABSTRACT The Shanghai-Hong Kong Stock Connect programme provides a perfect experimental setting to test cross-listing theories. Using daily panel data of 54 firms dually listed on the Shanghai A-share and Hong Kong H-share markets from 4 January 2011 to 29 November 2019, this paper investigates the effect of the programme on A-H premium. The results demonstrate that the programme did not narrow the A-H valuation gaps, but rather significantly promoted the premium. The results also confirm the conventional arguments of information asymmetry, demand differential, and investors’ risk preference differential, which are proposed to explain price disparities between dual-listed stocks, but challenge liquidity differential and market risk differential hypotheses.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
