The Fragmentation of the Chinese Stock Market and Its Elimination - An Empirical Study of Dual-listed A-share and H-share Companies

Author: Liu Xin
Publisher:
Publish Date: 2006-07-01
Features: Stock market fragmentation is caused by multiple factors. Institutional capital flow barriers, such as investment restrictions, capital controls, and ownership proportion limits, are the "hard fragmentation" factors of stock market fragmentation. Additionally, many non-institutional barriers, such as information asymmetry, liquidity differences, and political risks, are the "soft fragmentation" factors of stock markets. There are many methods to identify stock market fragmentation, most of which are completed through various pricing models. However, non-pricing model methods, such as correlation discrimination and event study, are somewhat more effective to some extent. The price spread of dual-listed companies across different markets is widely recognized and is a direct tool for studying the degree of stock market fragmentation. Many scholars have explained the reasons for the price spread from various perspectives and models. This undoubtedly holds guiding significance for revealing the mystery of the discount of H-shares in the Chinese stock market.