홍콩에 상장된 H주의 할인율 분석

This study extends the studies on the Chinese stock markets by investigating the price discounts of H shares relative to A shares. The price premiums or discounts of B shares and H shares tend to move together over time and H shares traded in the Hong Kong market offer substitutes for B shares traded in mainland China. An understanding of the price discounts of H shares relative to A shares should help to resolve the price discount puzzle for both B shares and H shares of Chinese firms. This study examines existing four hypotheses and adds momentum factors. Most traded B shares are held by small retail investors because there are few large Chinese institutional investors; by contrast, foreign investors tend to be institutional investors such as mutual funds. Most traded H shares are held by foreign institutional investors. Previous works show that mutual fund behavior and institutional investors can be affected by momentum investment strategies. First, empirical results of Granger-causality tests between two classes of share returns volatility imply that there exist partly causal relations between two classes of shares. However, generally these tests indicate that there are no causal relations between two classes of shares. Second, if we test existing four hypotheses, empirical results of this study show that the differential demand hypothesis and the liquidity hypothesis can explain the discount of H shares, which are similar to the previous studies. Third, if we add momentum factors and test five hypotheses including existing four hypotheses, only momentum factor hypothesis can significantly explain the price discount puzzle for H shares relative to A shares. Fourth, the more, the ratio of institutional investors, the less, the discount of the price discount for H shares. If we summarizes our empirical results, the momentum factor is the most important factor to explain the price discount for H shares relative to A shares.