تفاوت قیمت بین طبقات مختلف از سهام: یک مطالعه تجربی در بازار بورس چینی

This paper investigates the effect of strict segmentation on pricing in the context of the Chinese stock markets. The paper demonstrates that information asymmetry between foreign investors and domestic investors, liquidity effects, diversification effects, clientele bias, risk-free return differentials between foreign and domestic investors, and foreign exchange risks are significant factors in explaining discounts on shares that can only be owned by foreign investors.

In the Chinese stock markets, strict ownership segmentation is implemented, and two classes of shares — domestic-only shares (A shares) and foreign-only shares (B shares) — are traded. Bailey (1994) gives evidence of discounts on foreign-only-shares relative to domestic-only-shares. Fernald and Rogers (1998) argue that the lower return required by domestic investors, and little domestic investment opportunities in China contribute to the price discount. Chakravarty et al. (1998) model the effect of information asymmetry on the discount on stock prices in a strictly segmented market. Gordan and Li (1999) argue that legal restrictions create the segmented market and limit investment opportunities. Thus, domestic investors have inelastic demands for equity due to insufficient supply, pushing up the price of class A shares. In a related study, Errunza and Losq (1985) argue that in partially segmented markets, securities inaccessible to a subset of investors demand a risk premium.1Hietala (1989) devise a model that suggests domestic investors pay less under mild segmentation; and this is verified by empirical data from the Finnish market. Bergström et al. (1993) analyze stock pricing when domestic investors face a cap on investing in foreign assets, and when foreign investors are restricted to investing in domestic assets. They find that domestic investors pay a premium to invest in foreign assets while foreign investors pay a premium to invest in domestic assets. In contrast to other stock markets with similar ownership segmentation, the Chinese stock markets have substantial, yet persistent, price discounts on foreign-only-shares relative to domestic-only-shares.2,3 Given this special phenomenon, this paper analyses potential causes that can explain the price discount.4 The paper is structured as follows: Section 2 presents the institutional setting, 3 and 4 perform analysis of cross-sectional and time-series data; and Section 5 presents our conclusions.

5. Conclusion Ever since their introduction, B shares have shown a substantial discount against A shares. This phenomenon is unique compared to other stock markets that segment different classes of shares by ownership. From the cross-sectional analysis, we find that information asymmetry between domestic investors and foreign investors, illiquid trading of B shares, diversification benefits from investing in B shares, and clientele bias against stocks on SHSE are significant determinants in explaining the cross-sectional variations in the discount on B shares. The significance of information asymmetry and clientele bias confirms the findings of Chakravarty et al. (1998). The clientele bias against B shares listed on SHSE is strong in all model specifications. However, the puzzle that contributes to the clientele bias remains unsolved. The cross-sectional analysis identifies two more determinants of the discount on B shares: the relative illiquidity of B shares and the diversification benefits of B shares. The later result suggests that investors in B shares are likely to be active investors in the Hong Kong stock markets. However, the list of determinants is far from exhaustive as adjusted R2 is 24.6% and the constant term is large. The time-series analysis confirms the explanatory power of risk-free return difference and foreign exchange risk for the time-variations in the discount. The highly negative constant term suggests that there exist other factors influencing the time-variations. The explanatory power of the model should improve with a rigorous treatment of political risk. A further improvement would occur if a risk-free return, which is directly comparable to the US T-bill rate, could be located for domestic investors. A merger of A and B shares has long been desired. However, at present no concrete plan exists for the implementation of such a merger30. If a merger were eventually implemented, it would be of great interest to study the resulting price dynamics.