earticle

영어

This paper examines the transmission of pricing information of dual-listed stocks between class A and H shares of Chinese companies. There still exists a large price discount for H shares relative to the A shares. We hypothesize that if price discount or price disparity between two shares is larger, the effect of these price disparity on the transmission of pricing information between two shares will be stronger because of increasing price arbitrage pressure. We also compare the transmission of pricing information in the pre-liberalization period and in the post-liberalization period between two markets. We find that the spillover of the pricing information is strong between two shares in the post-liberalization period and all the sample periods between two markets 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 relatively weak for the firms of low price discount, compared with for the firms of high price discount or price disparity only in the pre-liberalization period. Thus, we find that the price disparity can have only partial effect on the transmission of pricing information only in the pre-liberalization period. Transmission of pricing information is much stronger in the post-liberalization period, compared with in the pre-liberalization period. We concludes that liberalizations have much more effect on the transmission of pricing information rather than price discount or disparity between two class of shares.