Price Difference between A-share and H-share in Segmented Chinese Stock Markets: Influencing Factor Analysis using Cluster Analysis and Panel Data Model
This paper analyses factors that influence price difference between A-share and H-share after the reform of non-tradable shares in Chinese stock markets. Panel data of 35 companies listed on two markets from January to October in 2007 are divided into two sorts, low premium stocks and high premium stocks, using cluster analysis. The empirical result of low premium stocks using panel data model is consistent with traditional hypothesis. On the other hand, prices behaviors of high premium stocks conflict with hypothesis. Structural bubbles and speculation in A-share market contribute a lot to the difference between empirical results and traditional hypothesis.
Panel Data Cluster Analysis Fixed Effect Model Variable Intercept Model Premium
BA Shu-song ZHU Yuan-qian
Department of Statistics and finance,University of Science & Technology of China,Hefei,Anhui,230026, Department of Statistics and finance,University of Science & Technology of China,Hefei,Anhui,230026,
国际会议
The 5th International Annual Conference on WTO and Financial Engineering(第五届WTO与金融工程国际会议)
杭州
英文
441-451
2008-05-18(万方平台首次上网日期,不代表论文的发表时间)