http://chineseinput.net/에서 pinyin(병음)방식으로 중국어를 변환할 수 있습니다.
변환된 중국어를 복사하여 사용하시면 됩니다.
Hing-Wah Lee 한국증권학회 2009 Asia-Pacific Journal of Financial Studies Vol.38 No.5
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 in-corporating 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.