시장분리, 가격할인, 가격정보전달: 중국의 교차 상장된 A주와 H를 중심으로

Market segmentation, Price Discount and Transmission of Pricing Information: : Evidence from Class A, and H Shares of Chinese dually Listed Companies")

This paper empirically examines and analyzes the transmission of pricing information of dually-listed stocks between class A, and H shares of chinese companies. There exists a large price discount for H shares relative to the A shares. This paper hypothesis that if price discount or price disparity between two shares is large, the effect of these price disparity on the transmission of pricing information between two shares will be strong because of the price arbitrage. This paper examines the transmission of pricing information in the pre-liberalization sub-sample period and in the post-liberalization sub-sample period between two markets. This paper also compares the empirical results between two subsample periods. Employing a GJR- GARCH(1,1)-M model, this paper finds that the spillover of the pricing information is strong between two shares in the post-liberalization sub-sample period and all sample period between two market both for the firms of high price discount or price disparity and for the firms of low price discount or price disparity. However, the spillover of the pricing information is weak for the firms of low price discount and the pricing information spillover is relatively strong for the firms of high price discount or price disparity only in the pre-liberalization sub-sample period. Thus, this paper shows that the effect of these price discount or disparity on the transmission of pricing information between two shares is stronger only in the pre-liberalization sub-sample period rather than in the post-liberalization sub-sample period between two shares. This paper concludes that the proposed hypothesis is supported only in the pre-liberalization sub-sample period.