讲座：Understanding AH Premium in China Stock Market
题 目：Understanding AH Premium in China Stock Market
演讲人：Tongbin Zhang, Assistant Professor, School of Economics, Shanghai University of Finance and Economics
主持人：戴亮 助理教授 上海交通大学安泰经济与管理学院金融系
时 间：2017年10月11日 14:30-16:00
地 点：上海交通大学 徐汇校区安泰楼B1516
There are 88 companies (AH-share) dual-listed in both China mainland stock market (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 price difference of AH-share in Shanghai and Hong Kong stock markets, measured by Hang Seng China AH Premium Index, persistently divergences instead of converging , and even reaches 50% higher in Shanghai market after connection. We have shown that present-value asset pricing models with heterogeneous agents cannot generate any price difference. Transaction cost and different dividend taxes between Shanghai and Hong Kong markets also quantitatively 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.
Prof. Zhang received his PhD at Universitat Autonoma de Barcelona, Spain. She obtained a BA in Finance at Zhejiang Gongshang University, and a MA in Economics at Shanghai University of Finance and Economics. His research field focuses on macroeconomic and financial economics, specifically the role of expectation in asset pricing.