Author(s)

Meilin Liu

Corresponding Author

Meilin Liu

Abstract

From early 1990s, companies can be dually listed in mainland and Hong Kong markets, however, the puzzle is that prices of A-shares are always higher than that of H-shares, this difference is known as A/H premium, described by HSAHP index. This paper will analyze this phenomenon from two perspectives, which are macro perspective - liquidity differences, different trading systems, industry differences and exchange rate, and micro perspective - including information asymmetry, investors’ risk preferences and differential demand elasticities.

Keywords

A/H premium, dual listing, segmented stock market.