by Kaiyu Ren

Abstract

This thesis examines the pricing dynamics of cross-listed stocks in the Chinese A-share and Hong Kong H-share markets. By identifying an announcement-implementation window, I offer a fresh perspective on the short-term price adjustment of cross-listed stocks around the launch of the first Stock Connect program. My findings reveal a significant increase of the A-H price ratio, but this price discrepancy appears to have been mitigated by the implementation of the Stock Connect program.Additionally, my observations suggest the existence of market inefficiencies, particularly among the groups of A-share stocks that are excluded from the Stock Connect program.

Professor Ronald Leven, Faculty Advisor

JEL Codes: G14; G18

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