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Risk, Speculation And China'S Cross-Listing Share Premiums

Author
Zheng, Fengping
Abstract
The A-H premium is a long standing puzzle facing Chinese stock market. This paper finds that this premium can be largely explained by its exposure to Chinese special treatment (ST) stocks, which have high delisting risk. The exposure to the ST index explains more than half of the variations of the A-H premium. A positive delisting risk premium is estimated by the Fama-Macbeth regressions. These results suggest that investor speculation is the main driver of the premium, in contrast to previous research that attributes the A-H premium to a difference between the risk behaviors of investors in the two share classes. The potential effect of conditional character of the Chinese stock market and its role in terms of the A-H premium are also discussed in this paper.
Date Issued
2014-05-25Committee Chair
Ng, David T.
Committee Member
Saar, Gideon
Degree Discipline
Agricultural Economics
Degree Name
M.S., Agricultural Economics
Degree Level
Master of Science
Type
dissertation or thesis