Price comovement and market segmentation of Chinese A- and H-shares: Evidence from a panel latent-factor model

• Main Authors: DONG, Yingjie, HUANG, Wenxin, TSE, Yiu Kuen
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2023
• Subjects: Common latent factors; Cross-listing; Cup-Lasso method; Market segmentation; Panel model; Asian Studies; Corporate Finance; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/soe_research/2668; https://ink.library.smu.edu.sg/context/soe_research/article/3667/viewcontent/Price_comovement_and_market_segmentation_av.pdf
• Institution: Singapore Management University

This paper examines the price comovement of cross-listed Chinese A- and H-shares using a panel model with latent factors and a heterogeneous long-run structure. Our model is more flexible than the cointegration system and is estimated using the data-driven Cup–Lasso method. The long-run H-share pric...