The Market Reaction to Cross‐border Listings: Evidence from AH Listed Firms. Issue 6 (30th November 2022)

• Record Type: Journal Article
• Authors: Zhang, John Fan
• Is Part Of: China & world economy. Volume 30:Issue 6(2022)
• Page Start: 183
• Page End: 218
• Publication Date: 2022-11-30
• Subjects: abnormal return -- China -- corporate strategy -- cross‐listing -- emerging stock market; Economic indicators -- China -- Periodicals; China -- Economic conditions -- 1976- -- Periodicals; China -- Economic policy -- 1976- -- Periodicals; China -- Commerce -- Periodicals; Economics -- China -- Periodicals; 337.951
• DOI: 10.1111/cwe.12451
• Languages: English
• ISSNs: 1671-2234

Abstract

Abstract: This study examines the abnormal returns of Chinese firms dual‐listed on the Chinese mainland (A‐share) and Hong Kong SAR (H‐share) stock markets. The results show that abnormal returns are more significant for the existing H‐share firms cross‐listing back as (H‐to‐A cross‐listings) than for those that are the other way around (A‐to‐H cross‐listings). Further, the A‐share market is more responsive to announcements, whereas the H‐share market is more responsive to actual listings. The analysis of the underlying mechanisms reveals that the abnormal returns of A‐to‐H cross‐listings are associated with improved information. In contrast, the abnormal returns of H‐to‐A cross‐listings are related to an increase in valuation. Significant abnormal returns for H‐to‐A cross‐listings are driven mainly by reduced systematic risks and are more pronounced in the post‐1997 period. Overall, these results suggest that investors generally respond positively to AH dual listings of Chinese firms.