Are Stock Price More Informative after Dual-Listing in Emerging Markets? Evidence from Hong Kong-Listed Chinese Companies

43 Pages Posted: 15 Nov 2015 Last revised: 1 May 2016

See all articles by Hung Wan Kot

Hung Wan Kot

University of Macau - Department of Finance and Business Economics

Lewis Tam

Faculty of Business Administration, University of Macau

Date Written: October 28, 2015

Abstract

We study how the information and trading environments of Hong Kong-listed Chinese companies (H-share firms) change once the companies return to the China A-share markets for listing. We examine the stock price synchronicity, liquidity commonality, and stock liquidity after dual-listing and investigate three channels related to possible changes. We find that added A-share analyst coverage influences the stock liquidity, but not the price synchronicity or liquidity commonality. Moreover, Qualified Direct Institutional Investors’ trading affects price synchronicity, liquidity commonality, and stock liquidity while Qualified Foreign Institutional Investors’ trading affects price synchronicity and liquidity commonality, but not stock liquidity.

Keywords: H-shares, Dual listings, Stock price synchronicity, Analyst coverage, Liquidity commonality

JEL Classification: G14, G15, G18, G31, L10

Suggested Citation

Kot, Hung Wan and Tam, Lewis, Are Stock Price More Informative after Dual-Listing in Emerging Markets? Evidence from Hong Kong-Listed Chinese Companies (October 28, 2015). Pacific-Basin Finance Journal, Vol. 36, 2016. Available at SSRN: https://ssrn.com/abstract=2690683 or http://dx.doi.org/10.2139/ssrn.2690683

Hung Wan Kot (Contact Author)

University of Macau - Department of Finance and Business Economics ( email )

Macau

Lewis Tam

Faculty of Business Administration, University of Macau ( email )

Room E22-4055, University of Macau
Avenida da Universidade
Taipa
Macau

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