Abstract
As the increasing number of dual-listed companies in Chinese stock market and Hong Kong stock market, the persistent and significance price disparity between A- and HShares has received more and more scholars' attention. This paper first described the characteristics of price disparity of A and H-Shares of dual-listed companies, and then by using Levin-Lin-Chu panel unit root test, we found that this price disparity was stationary, which was still valid after grouping companies according to their circulated stock value (CSV). Furthermore, our test by grouping also discovered that after one-time shock, the price disparity of A- and H-Shares of high and low CSV tended to converge to its half-life equilibrium level in 40 and 56 trading days respectively.
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