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- W2103116871 abstract "I examine the price premium between A-shares and H-shares using a sample of Hong Kong, Shenzhen, and Shanghai stock market intraday data in 2004. Following the market-microstructure approach, I reinvestigate the liquidity hypothesis by incorporating spread and depth. The study generates two important results. First, China A-shares on average provide better market liquidity than their Hong Kong H-share counterparts do. Second, after controlling for traditional liquidity measures and variables related to competing hypotheses, the percentage differences in quoted spread and depth between A-shares and H-shares still explain significantly the price premium. Endogeneity between spread and depth does not affect the major findings." @default.
- W2103116871 created "2016-06-24" @default.
- W2103116871 creator A5087242359 @default.
- W2103116871 date "2009-10-01" @default.
- W2103116871 modified "2023-09-23" @default.
- W2103116871 title "The Price Premium of China A-Shares over Hong Kong H-Shares: A Further Visit of the Liquidity Hypothesis" @default.
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- W2103116871 doi "https://doi.org/10.1111/j.2041-6156.2009.tb00026.x" @default.
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