Signaling Effect: Shenzhen B Shares to Hong Kong H Shares

• Main Authors: Yu-yu Huang, 黃于瑜
• Other Authors: Chih-liang Liu
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/87653815802969674572

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 101 === This study focuses on the Shenzhen Stock Exchange announcement that whether the listed companies are allowed to be transferred from B to H shares. Using the sample firms, China International Marine Containers, China Vanke, and Livzon Pharmaceutical, for case study, the stock returns, volatility, trading volume, liquidity, and bid-ask deviation are explored for the (post-)transferring periods. The empirical results show that for the China International Marine Containers, the signaling effects are more pronounced in the post-transferring periods, thereby directly influencing the transferring of China Vanke and Livzon Pharmaceutical. Firstly, the volatility of H shares is higher in post-transferring periods. Secondly, there is no short-run comparative benefit between B and A shares, and the stock returns show a bidirectional relationship. Thirdly, the variation in stock returns is significant only in two to three days after transfer, while the long term effects are not significant. Lastly, besides China International Marine Containers, the volatility became larger after T+2 trading days, thereby increasing risks of investment in A and B shares. Overall, there are short-run positive signaling effects in financial market when the transferring announcement was made. The empirical evidence can be taken as an investment strategy for arbitrage and hedge in the future.