| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5069324 | Finance Research Letters | 2017 | 6 Pages |
•We show the effectiveness of the Shanghai-Hong Kong Stock Connect policy in reducing the A-H share price gap.•Contrary to the market sentiment that the policy disappoints as it fails to close the price gap, our results show that after controlling for company-specific factors, market performance and investor preferences, the new policy is indeed effective in reducing the A-H share premium.•New factors such as corporate governance are also found to be important in determining the A-H share premium.
This paper empirically investigates the A-H share premium puzzle in the perspective of the effect of Shanghai–Hong Kong Stock Connect policy using a panel data of 55 dual-listed companies from January 4th, 2013 to December 31st, 2015. After controlling factors measuring company-specific factors, market performance and investor preferences, the empirical results show that the Shanghai–Hong Kong Stock Connect policy can significantly reduce the A-H share premium for the dual-listed companies in Shanghai and Hong Kong markets. Better corporate governance is also found to reduce the A-H share premium.
