Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/28305
Title: The price premium of China A-shares over Hong Kong H-shares : a further visit of the liquidity hypothesis
Authors: Lee, HW
Keywords: A-shares
China stock market
H-shares
Liquidity hypothesis
Price premium
Issue Date: 2009
Publisher: Korean Securities Assoc
Source: Asia-pacific journal of financial studies, 2009, v. 38, no. 5, p. 657-694 How to cite?
Journal: Asia-Pacific Journal of Financial Studies 
Abstract: I examine the price premium between A-shares and H-shares using a sample of Hong Kong, Shenzhen, and Shanghai stock market intraday data in 2004. Following the market- microstructure approach, I reinvestigate the liquidity hypothesis by incorporating spread and depth. The study generates two important results. First, China A-shares on average provide better market liquidity than their Hong Kong H-share counterparts do. Second, after controlling for traditional liquidity measures and variables related to competing hypotheses, the percentage differences in quoted spread and depth between Ashares and H-shares still explain significantly the price premium. Endogeneity between spread and depth does not affect the major findings.
URI: http://hdl.handle.net/10397/28305
ISSN: 1226-1165
DOI: 10.1111/j.2041-6156.2009.tb00026.x
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