Publication Details

Zhao, Y. Fang., Tan, A. S. & Tian, G. G. (2008). Non-tradable share reform and convergence between Chinese cross-listed A and H shares. The 21st Australasian Finance and Banking Conference (pp. 2316-2342). Sydney: UNSW Australian School of Business.


This paper explores the impact of China's two recent stock market reforms, i.e.non-tradable share reform and QFII procedures, on the price linkages of A- and H- sharesby using the technique of cointegration. We found that although A-share index andH-share index is still segmented, the price linkages between individual A-shares and theircross-listed H-shares have been straightened since the two policies implemented. Weargued that ownership restrictions contributed to the market segmentation of Chinese andHong Kong's stock markets and the integration process of China and Hong Kong seemsto be a gradual progress.

Link to publisher version (URL)

Australasian Finance and Banking Conference