Publication Type
Journal Article
Version
acceptedVersion
Publication Date
3-2023
Abstract
This paper examines the price comovement of cross-listed Chinese A- and H-shares using a panel model with latent factors and a heterogeneous long-run structure. Our model is more flexible than the cointegration system and is estimated using the data-driven Cup–Lasso method. The long-run H-share price discounts are heterogeneous across different groups of stocks. We have identified both stationary and nonstationary latent factors in the price differentials, which are driven by different economic variables. By analyzing the factor loadings of the nonstationary latent factor, we identify some trading-friction and information-friction variables that have effects on the price convergence between the A- and H-shares.
Keywords
Common latent factors, Cross-listing, Cup-Lasso method, Market segmentation, Panel model
Discipline
Asian Studies | Corporate Finance | Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
Publication
Journal of International Money and Finance
Volume
131
First Page
1
Last Page
19
ISSN
0261-5606
Identifier
10.1016/j.jimonfin.2022.102794
Publisher
Elsevier
Citation
DONG, Yingjie; HUANG, Wenxin; and TSE, Yiu Kuen.
Price comovement and market segmentation of Chinese A- and H-shares: Evidence from a panel latent-factor model. (2023). Journal of International Money and Finance. 131, 1-19.
Available at: https://ink.library.smu.edu.sg/soe_research/2668
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.jimonfin.2022.102794
Included in
Asian Studies Commons, Corporate Finance Commons, Finance and Financial Management Commons, Portfolio and Security Analysis Commons