Short-sale Constraints and A-H Share Premiums

机译：卖空限制和A-H股溢价

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We investigate the effect of different short-sale constraints of the H-share stocks on the A-H share premiums, based on H shares from Hong Kong and A shares from Mainland China. When the market goes down, we find that the prices of shortable H-shares decrease faster than those of non-shortable Hshares. As a consequence, the premium of A-H shares becomes larger for the shortable H-shares. We also find that lagged premium of shortable stock portfolio leads the premium of non-shortable stock portfolio, but not vice versa

机译：我们根据香港的H股和中国大陆的A股，研究了不同的限制卖空的H股股票对A-H股溢价的影响。当市场下跌时，我们发现卖空的H股的价格下跌速度要快于卖空的H股的价格下跌速度。结果，空头H股的A-H股溢价变得更大。我们还发现，卖空股票投资组合的滞后溢价导致非卖空股票投资组合的溢价领先，反之则不然

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来源
《2009 China international conference in finance》|2009年|p.1-40|共40页
会议地点 Guangzhou(CN);Guangzhou(CN)
作者
Kalok Chan; Hung Wan Kot; Zhishu Yang;
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作者单位

Department of Finance, Hong Kong University of Science Technology;

Department of Finance Decision Sciences, Hong Kong Baptist University;

Department of Finance, Tsinghua University;

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会议组织
原文格式 PDF
正文语种 eng
中图分类财政、金融;
关键词
Short-sale constraints; overvaluation; Hong Kong market; China A-share market;

机译：卖空限制;高估;香港市场;中国A股市场;

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Short-sale Constraints and A-H Share Premiums

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