期刊
FINANCE RESEARCH LETTERS
卷 21, 期 -, 页码 222-227出版社
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2016.11.014
关键词
Market segmentation; A-H share premium; Shanghai-Hong Kong Stock Connect policy; Panel data
资金
- National Natural Science Foundation of China (NNSFC) [71301134, 71671149]
- Natural Science Foundation of Fujian Province of China [2016J01340]
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. (C) 2016 Elsevier Inc. All rights reserved.
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