Short-sale Constraints and A-H Share Premiums
We investigate the effect of different short-sale constraints of the H-share stocks on the A-H share premiums, based on H shares from Hong Kong and A shares from Mainland China. When the market goes down, we find that the prices of shortable H-shares decrease faster than those of non-shortable Hshares. As a consequence, the premium of A-H shares becomes larger for the shortable H-shares. We also find that lagged premium of shortable stock portfolio leads the premium of non-shortable stock portfolio, but not vice versa
Short-sale constraints overvaluation Hong Kong market China A-share market
Kalok Chan Hung Wan Kot Zhishu Yang
Department of Finance, Hong Kong University of Science & Technology Department of Finance & Decision Sciences, Hong Kong Baptist University Department of Finance, Tsinghua University
国际会议
广州
英文
1-40
2009-07-07（万方平台首次上网日期，不代表论文的发表时间）