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The Impact of Shanghai-Hong Kong Stock Connect Policy on A-H Share Price Premium
Id：2353
Date：20161226
Status：
ClickTimes：
作者
Qingliang Fan, Ting Wang
正文
This paper empirically investigates the A-H share premium puzzle in the perspective of the effect of Shanghai–Hong Kong Stock Connect policy using a panel data of 55 dual-listed companies from January 4th, 2013 to December 31st, 2015. After controlling factors measuring company-specific factors, market performance and investor preferences, the empirical results show that the Shanghai–Hong Kong Stock Connect policy can significantly reduce the A-H share premium for the dual-listed companies in Shanghai and Hong Kong markets. Better corporate governance is also found to reduce the A-H share premium.
JEL-Codes：
G1; G28; G3
关键词：
Market segmentation; A-H share premium; Shanghai–Hong Kong Stock Connect policy; Panel data
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