Location of Trade, Ownership Restrictions, and Market Illiquidity: Examining Chinese A- and H-Shares

Wang, Steven Shuye; Jiang, Li

doi:10.2139/ssrn.410702

Cited by 48 publications

(63 citation statements)

References 49 publications

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“…We also deleted 15 H share announcements because these shares are only available to Hong Kong and international investors. Moreover, Wang and Jiang (2004) found that H shares are more exposed to Hong Kong market risks and display behaviors similar to other shares traded in the Hong Kong market. This resulted in a final sample size of 364 repurchase announcements for the period of 2000 to 2012.…”

Section: Related Literature and Hypotheses Developmentmentioning

confidence: 94%

“…Domestic investors can only trade A (local) shares. Foreign investors are restricted to trading B (foreign) shares, which are denominated in US dollars, whilst investors in Hong Kong (and elsewhere) trade H shares denominated in Hong Kong dollars (Wang & Jiang, 2004). Fernald and Rogers (1998) suggested that although the two share types (A and B) have the same characteristics such as voting and profit-sharing rights, foreign investors pay a smaller price for B shares than for the equivalent A shares.…”

Section: Related Literature and Hypotheses Developmentmentioning

confidence: 99%

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Determinants of share returns following repurchase announcements in China

Gan

Bian²,

et al. 2017

Investment Management and Financial Innovations

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By combining the market model with the three-factor model, this study investigates fir ms' share returns after the announcement of share repurchase. Employing data for Chi na's A-share market, this study's sample utilizes 417 share repurchase announcements over the pe riod of 2000 to 2012. Empirical results show that firms with higher sales gro wth rates are more likely to send a positive signal to the market through their share repur chase efforts. Analysis also shows that the higher a firm's price-to-earnings ratio (utilized as a measure of overvaluation), the lower the firm's cumulative abnormal returns. These results imply that Chinese share markets put more emphasis on the firm's future growth and share overvaluation.

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Section: Related Literature and Hypotheses Developmentmentioning

confidence: 94%

Section: Related Literature and Hypotheses Developmentmentioning

confidence: 99%

Determinants of share returns following repurchase announcements in China

Gan

Bian²,

et al. 2017

Investment Management and Financial Innovations

View full text Add to dashboard Cite

show abstract

“…Yeh et al (2002) argue that where firms list separate shares for trading by domestic and foreign investors (e.g., A and B shares in China), the prices of the shares traded by foreign investors tends to be higher, but in China, the reverse tends to be true. In a study based on Chinese companies that issued both A and H shares, Wang and Jiang (2004) find that the A share and H share returns have different relations to their domestic markets (Shanghai/Shenzhen and Hong Kong respectively) as well as foreign markets. Further, they show that H shares trade at a significant discount relative to A shares.…”

Section: Related Literaturementioning

confidence: 99%

Risk-Return Dynamics of the Chinese Stock Market: A Comparison between A, B and H Shares

Mohanty¹,

Nandha²,

Khashabah³

et al. 2015

IBR

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This study compares the risk-return characteristics of the Chinese A shares with that of B and H shares over the period from January 1995 to June 2012. On average, B and H shares offer a better risk-adjusted return irrespective of whether the returns are measured in the Chinese Yuan (domestic perspective) or in the US dollar (foreign perspective) terms. However, a "timeline" analysis indicates that the relative advantage arising from investment in B or H shares may be nearing the end. This finding appears to be a consequence of investment schemes which allow domestic and foreign investors to cross each other"s territories after opening up of the Chinese market to foreign investors. Second, there is some evidence of exchange rate advantage for foreign investors, even though it is negligible. The results of our study suggest that any additional benefit generated by slight (average annual) appreciation of Yuan against the dollar is offset by an increase in volatility of returns measured in the US dollar.

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“…Instead of focusing on the study of fundamentals that are important in determining the value of shares, many researchers have examined some transitional factors such as asymmetric information (Chakravarty et al, 1998;Chen et al, 2001;Yeh et al, 2002;Wang and Jiang, 2004), illiquidity and transaction costs of trading (Chen et al, 2001;Wang and Jiang, 2004), difficulty for arbitrage due to market segmentation (Chakravarty et al, 1998;Chen et al, 2001;Fernald and Rogers, 2002;Yeh et al 2002), and differential risks of volatility, exchange rate, and political factors (Chen et al, 2001;Fernald and Rogers, 2002;Zhang and Zhao, 2003).…”

Section: Introductionmentioning

confidence: 99%