Proceedings of the First International Conference Economic and Business Management 2016

Related Factors Research on Stock Price Premium of A Shares and H Shares Dual-Listed Companies

Authors
Yingce Yi, Yan Zhou
Corresponding Author
Yingce Yi
Available Online November 2016.
DOI
10.2991/febm-16.2016.37How to use a DOI?
Keywords
dual listed company; premium rate; the Shanghai-Hong Kong Stock Connect program
Abstract

The premium between Shanghai and HongKong stock price had been existing in dual listed companies for a long time. This paper is based on the policy of Shanghai-Hong Kong Stock Connect program which began on November 27, 2014, and made an empirical research on the premium rate. We selected 63 stocks related to the program, collected daily data from January 4, 2012 to December 30, 2015, including 940 days. With the liquidity differences, risk preference differences and influence of information asymmetry serve as explanatory variables, the exchange rate of HongKong dollar serve as control variables, the program serve as virtual variables, we built regression model. Regression results show that the liquidity difference, risk preference difference, the difference of information asymmetry, and the exchange rate can significantly impact on the premium rate. Among them, the risk preference difference shows a negative correlation, the rest shows the opposite correlation.

Copyright
© 2016, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the First International Conference Economic and Business Management 2016
Series
Advances in Economics, Business and Management Research
Publication Date
November 2016
ISBN
978-94-6252-262-6
ISSN
2352-5428
DOI
10.2991/febm-16.2016.37How to use a DOI?
Copyright
© 2016, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Yingce Yi
AU  - Yan Zhou
PY  - 2016/11
DA  - 2016/11
TI  - Related Factors Research on Stock Price Premium of A Shares and H Shares Dual-Listed Companies
BT  - Proceedings of the First International Conference Economic and Business Management 2016
PB  - Atlantis Press
SP  - 235
EP  - 240
SN  - 2352-5428
UR  - https://doi.org/10.2991/febm-16.2016.37
DO  - 10.2991/febm-16.2016.37
ID  - Yi2016/11
ER  -