Date of Award
2011
Degree Type
Thesis
Degree Name
Master of Philosophy (MPHIL)
Department
Economics
First Advisor
Dr. RAN Jimmy
Second Advisor
Prof. MA Yue
Abstract
A growing number of Chinese corporations have been listing their shares on foreign stock markets. Hong Kong Stock Exchange (HKEX) and New York Stock Exchange (NYSE) are their major targets. Taking China’s exchange rate system reform as a unique event, I examine the price disparity between A-share and H-share (or ADR) using a sample of 28 Chinese companies listed in Shenzhen, Shanghai, Hong Kong, and New York. I conduct a panel-data investigation to examine the price disparity before and after the transition from the pegged to the managed floating exchange rate.
I have obtained several important findings in this study. First, RMB exchange rate reform in 2005 has significant effect on price disparity between A-shares and H-shares and also between A-share and ADR, which shows that relaxation of the exchange rate control brings about a clear convergence of A-share price with foreign share price. This result is robust with different models. Second, we also found that currency factor has significant effect on price premium between A-shares and foreign shares. Appreciation in RMB would lead to a decrease in price premium. In addition, exchange rate reform exerts its effect whether or not we take into account the impact from the Split-share structure reform.
Keywords
Stocks, Prices, Securities, Foreign exchange rates, Renminbi, China
Copyright
The copyright of this thesis is owned by its author. Any reproduction, adaptation, distribution or dissemination of this thesis without express authorization is strictly prohibited.
Recommended Citation
Rong, Y. (2011). RMB exchange rate reform and cross listed stock price disparity (Master's thesis, Lingnan University, Hong Kong). Retrieved from http://dx.doi.org/10.14793/econ_etd.6