Chinese Stock Markets A And B Share Discounts,

In segmented capital markets, the law of one price doesn't work. It is found that the foreign class shares typically sell at a premium in relative to the domestic class shares that can only be owned by the domestic investors in most emerging markets, but China is an exception, the Chinese foreign class B-shares are traded at a discount relative to the domestic class A-shares.Based on lots of relevant previous research, the thesis theoretically and empirically analyses the price difference between A and B share, trying to find out the influence factors of the price difference between A and B share.Firstly, The thesis explores the price difference between A and B share, and uses the rate of discount of B-share to describe the price difference, we conclude that the rate of discount of B-share declines as time passing, and there is a big drop when B-share market is open to domestic investors; all the dual-listing companies'B-shares are traded at a discount, but the discounted degree of B-share is different among companies.Secondly, the thesis analyses the price difference between A and B-share theoretically. We think demand difference, information asymmetry difference, liquidity difference, investment theory difference are the main reasons that affect the price difference of A and B share.Thirdly, the thesis constructs a cross-sectional model to examine each influence factor in order to probe into the main factors causing B-share discount. The result of the empirical test shows that demand difference, liquidity difference, investment theory difference are all influence factors, they all have a effective influence on the price difference. But there is no evidence to confirm information asymmetry difference could affect the price difference effectively.According to the conclusions of theoretical analysis and empirical...