The Price Relationships among the Chinese Company’s Shares Listing Domestically and Abroad

摘要

This thesis investigates the price relationships among 14 Chinese companies’shares traded on domestic and foreign exchanges, i.e. the mainland China stockexchanges [either the Shanghai stock exchange (SHS), or the Shenzhen stockexchange (SHZ)], Hong Kong stock exchange (HKEK) and New York stockexchange (NYSE). The both stock exchanges (SHS, SHZ) in China are taken asone object to analysis. Firstly, the test on whether the stock prices are stationaryor not, is performed by testing the unit roots and autocorrelation. The testresults show that generally the stock prices are not stationary. Secondly, thetests are performed on the difference series or the return series. The resultindicates that the first differences of the stock prices are all stationary. Thirdly,the cointegration tests are performed. The tests show that there are no longtermcointegrations between the prices of the company’s shares listed on China(SHS, SHZ) and Hong Kong (HKEX) or China (SHS, SHZ) and New York(NYSE). However, there is a cointegration between the Company’s stockprices on HKEX and those on NYSE, which indicates that the efficiency interms of price discovery existing between the foreign exchanges rather than thedomestic and foreign exchange. Finally, the Granger test is employed toperform on the returns series since it cannot be used on the non-stationaryseries, the share prices. The empirical analysis reveals that price discoveryexists only between HKEX and NYSE, which are consistent with the previouscointegration tests. The reasons could be that HKD is pegged USD. The Chinamarket shows a high segmentation due to its strict capital control andrestrictions on foreign exchange. Although, the common culture, language andother characteristics should give rise to an integrated capital market betweenthe mainland China and Hong Kong, this relationship seems not existing,neither between the China and U.S. markets.