Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 麦建理教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.jbankfin.2011.01.010 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/9WOS source URL
其它资讯
摘要We develop a non-linear Markov error correction approach to examine the general co-integration relation between the H- and A-prices of cross-listed Chinese stock issuers across the period January 1http://aims.cuhk.edu.hk/converis/portal/Publication/9http://aims.cuhk.edu.hk/converis/portal/Publication/9http://aims.cuhk.edu.hk/converis/portal/Publication/9 to March 200http://aims.cuhk.edu.hk/converis/portal/Publication/9. We unravel three important dimensions of this relation. These pertain to (i) the long-run expectation of the H- (to A-price) discount; (ii) the level of short-run co-movement in prices; and (iii) the magnitude of error corrections. Findings point to significant improvements in all three areas. Policy and corporate governance change appears to be the principal force driving the efficiency gains. Weakening informational asymmetries underlie much of the change in the markets' relative pricing. In contrast, sentiment effects strongly underpin the contemporaneous response and error correction adjustments. Finally, the escalating Global Financial Crisis of 2008 appears to have not only bolstered the A- and H-markets' short-term pricing dynamic but also temporarily increased the long-term H-share discount. (C) 2011 Elsevier B.V. All rights reserved.
着者Cai CX, McGuinness PB, Zhang Q
期刊名称Journal of Banking and Finance
出版年份2011
月份8
日期1
卷号35
期次8
出版社Elsevier
页次2123 - 2136
国际标準期刊号0378-4266
电子国际标準期刊号1872-6372
语言英式英语
关键词A-share; Co-integration; Cross listing; Error correction; H-share; Markov switching
Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE; Economics; ECONOMICS
