Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/27666
Title: Location of trade, ownership restrictions, and market illiquidity : examining Chinese A- and H-shares
Authors: Wang, SS
Jiang, L 
Keywords: Cross-listing
Illiquidity
Market sentiment
Ownership restriction
Issue Date: 2004
Publisher: Elsevier
Source: Journal of banking and finance, 2004, v. 28, no. 6, p. 1273-1297 How to cite?
Journal: Journal of banking and finance 
Abstract: We examine Chinese companies that issue both A-shares in mainland China and H-shares in Hong Kong. A-shares are restricted to mainland Chinese investors, while H-shares are available to Hong Kong and international investors. We find that H-shares exhibit significant exposure to Hong Kong market factors and behave more like Hong Kong stocks than mainland Chinese stocks. However, H-shares retain significant exposure to their domestic market and therefore provide foreign investors with diversification opportunities. We find a large time-varying H-share price discount relative to A-shares, and this discount is highly correlated with domestic and foreign market factors and relative market illiquidity.
URI: http://hdl.handle.net/10397/27666
ISSN: 0378-4266
DOI: 10.1016/S0378-4266(03)00119-5
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