US ADR and Hong Kong H-share discounts of Shanghai-listed firms

Arquette, Gregory C.; Brown, William O.; Burdekin, Richard C. K.

doi:10.1016/j.jbankfin.2007.12.019

Cited by 106 publications

(93 citation statements)

References 31 publications

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“…According to Arquette et al (2008), market sentiment can be defined as in equation (10). They found that market sentiment is negatively related to the premium between an A-share and its corresponding ADR/H share.…”

Section: )mentioning

confidence: 99%

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Factors Influencing Equity Return Correlations between China’s Pairs of A- and B-Share Markets: Effect of QFII’s Implementation

Hsiao¹,

Tu²,

Chen³

2017

IJFR

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This paper was intended to examine factors influencing the correlations between A-and B-shares of individual firms, and explore the effects of Qualified Foreign Institutional Investor's (QFII) implementation on correlations. The empirical results show that interest rate differential, relative turnover rate, relative return volatility, and market sentiment had impacts on correlation both before and after the QFII's implementation. After its implementation, correlations became more sensitive to premium, relative turnover rate and market sentiment. Furthermore, the estimated constant term for overall market correlation became more negative (raw values from -0.3413 to -0.8815), indicating an increasing correlation between A-and B-shares' returns. The policy implications are that much benefit of diversification into emerging markets such as paired A-and B-shares can be accomplished, together with taking several influential factors into account.

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Section: )mentioning

confidence: 99%

“…However, this measure may include firms with negative earnings, and we thus choose to use another measure of company sentiment such as price-to-sale ratios that would still come with positive values. As suggested by Arquette et al (2008), we substitute price-to-sales ratio for P/E ratio.…”

Section: )mentioning

confidence: 99%

Factors Influencing Equity Return Correlations between China’s Pairs of A- and B-Share Markets: Effect of QFII’s Implementation

Hsiao¹,

Tu²,

Chen³

2017

IJFR

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“…From a cross-pricing perspective, the error-11 . Through our assessment of these areas, we shed new light on the A-to H-pricing difference (see Wang and Jiang, 2004;Arquette et al, 2008;Ma et al 2010;and Cai et al, 2011) and on cross-listing price discovery in general (see Harris et al, 1995;Eun and Sabherwal, 2003;and Gagnon and Karolyi, 2009, 2010b. Also see Cai et al (2011, p. 2126 for brief review of Markov estimation approaches in relation to dual-traded securities.…”

Section: Economic Interpretation Of a Co-integration-causality Model mentioning

confidence: 99%

Capital account reform and short- and long-run stock price leadership

Cai¹,

McGuinness

Qi³

2015

The European Journal of Finance

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Additional information:Use policyThe full-text may be used and/or reproduced, and given to third parties in any format or medium, without prior permission or charge, for personal research or study, educational, or not-for-prot purposes provided that:• a full bibliographic reference is made to the original source • a link is made to the metadata record in DRO • the full-text is not changed in any way The full-text must not be sold in any format or medium without the formal permission of the copyright holders.Please consult the full DRO policy for further details. Capital account reform and short-and long-run stock price leadership AbstractThis paper studies the effect of capital account liberalization policies on the price discovery of crosslistings in Chinese stocks. We construct a non-linear causality framework that decomposes shortand long-run dimensions of price leadership. Our analysis shows that capital account liberalization has had a profound effect on long-run A-and H-price leadership traits. Specifically, increased inward capital movement from Qualified Foreign Institutional Investors (QFIIs) strengthens longterm leadership in the mainland A-market. Similarly, increased capital outflow from the Chinese mainland galvanizes long-term price discovery processes in the Hong Kong H-market. We thus offer strong evidence that capital account liberalization promotes stock market efficiency in the long-run. The present study's empirical account also suggests that such capital flows inhibit shortterm lead-lag effects.

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“…Arquette et al (2008) study Chinese ADRs and H-shares and find that exchange rate expectations drawn from forward rates are significant drivers of the price spread between cross-listed stocks and their domestic underlyings. Eichler (2011) shows that price discounts on Chinese cross-listed stocks have predictive power for the expected exchange rate of the yuan vs. the U.S. dollar.…”

Section: Introductionmentioning

confidence: 99%

“…Our currency risk indicator therefore has the advantage of reflecting forward looking currency risk assessments that are available at a high frequency and in real time. Second, in contrast to existing approaches in the ADR literature that use relative price levels (Melvin (2003); Kadiyala (2004); Levy Yeyati et al (2004) ;Auguste et al (2006); Arquette et al (2008); Eichler et al (2009)), our measure is not restricted to capital control episodes. We consider the currency risk factor priced in ADR returns, which can also be derived for periods without restrictions on capital flows.…”

Section: Introductionmentioning

confidence: 99%

A Market-Based Indicator of Currency Risk: Evidence from American Depositary Receipts

Eichler

Roevekamp²

2016

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. The responsibility for discussion papers lies solely with the individual authors. The views expressed herein do not necessarily represent those of the IWH. The papers represent preliminary work and are circulated to encourage discussion with the authors. Citation of the discussion papers should account for their provisional character; a revised version may be available directly from the authors. period, we find that a deterioration in the fiscal and current account balance, as well as higher inflation, increases currency risk. Interaction models reveal that these macroeconomic fundamentals drive currency risk, particularly in countries with managed exchange rates, low levels of foreign exchange reserves and a poor sovereign credit rating. Terms of use: Documents in Keywords

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US ADR and Hong Kong H-share discounts of Shanghai-listed firms

Cited by 106 publications

References 31 publications

Factors Influencing Equity Return Correlations between China’s Pairs of A- and B-Share Markets: Effect of QFII’s Implementation

Factors Influencing Equity Return Correlations between China’s Pairs of A- and B-Share Markets: Effect of QFII’s Implementation

Capital account reform and short- and long-run stock price leadership

A Market-Based Indicator of Currency Risk: Evidence from American Depositary Receipts

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