Abstract:This paper explores determinants of price premiums between A‐share and American depositary receipts (ADR) or H‐share and sheds light on policies using daily data from cross‐listed companies from 2002–2020. Market sentiment and financial openness are critical in explaining both types of price premiums. Expected exchange rate changes significantly impact the A‐share versus ADR premium but liquidity is essential for the A‐share versus H‐share premium. The introduction of Shanghai–Hong Kong Stock Connect in Novemb… Show more
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