题目： Understanding AH Premium in Chinese Stock Markets
主讲人：张同斌 博士 上海财经大学经济学院
时间：2017-10-17 14:15-16:00
地点：下沝校区综合楼846
主讲人简介： There are 88 companies (AH share) dual-listed in both China mainland stock markets (A share)and Hong Kong stock market (H share) accounted for 20% of total A share. The ‘Shanghai-Hong Kong Stock Connect’ program starting at November, 2014 makes previously two segmented markets--Shanghai and Hong Kong stock markets--connected. The prices difference of AH share inShanghai and Hong Kong stock markets, measured by Hang Seng AH Premium Index, instead of converging persistently divergences, and even reaches 50% higher in Shanghai market. We have shown that asset pricing model with heterogeneity agents with different risk aversions or diverse beliefs in the complete market and incomplete markets cannot generate any AH premium. Transaction cost and different dividend taxes between Shanghai and Hong Kong markets also fails to explain such high and volatile AH premium. We, hence, propose an ‘Internal Rationality’learning model, in which agents don’t know the pricing function from fundamentals to the stock prices and have different subjective beliefs about tomorrow’s capital gains in Shanghai and Hong Kong markets. Our learning model can successfully generate data-like weekly AH premium. We also show that convergence traders with strategy short in Shanghai and long in Hong Kong will lose money with 33% probability.
主讲人：张同斌 博士 上海财经大学经济学院
时间：2017-10-17 14:15-16:00
地点：下沝校区综合楼846
主讲人简介： There are 88 companies (AH share) dual-listed in both China mainland stock markets (A share)and Hong Kong stock market (H share) accounted for 20% of total A share. The ‘Shanghai-Hong Kong Stock Connect’ program starting at November, 2014 makes previously two segmented markets--Shanghai and Hong Kong stock markets--connected. The prices difference of AH share inShanghai and Hong Kong stock markets, measured by Hang Seng AH Premium Index, instead of converging persistently divergences, and even reaches 50% higher in Shanghai market. We have shown that asset pricing model with heterogeneity agents with different risk aversions or diverse beliefs in the complete market and incomplete markets cannot generate any AH premium. Transaction cost and different dividend taxes between Shanghai and Hong Kong markets also fails to explain such high and volatile AH premium. We, hence, propose an ‘Internal Rationality’learning model, in which agents don’t know the pricing function from fundamentals to the stock prices and have different subjective beliefs about tomorrow’s capital gains in Shanghai and Hong Kong markets. Our learning model can successfully generate data-like weekly AH premium. We also show that convergence traders with strategy short in Shanghai and long in Hong Kong will lose money with 33% probability.
