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Price differentials between different classes of stocks: an empirical study on Chinese stock markets
Journal article   Peer reviewed

Price differentials between different classes of stocks: an empirical study on Chinese stock markets

Clas Bergström and Ellen Tang
Journal of multinational financial management, Vol.11(4), pp.407-426
2001-12

Abstract

Asset pricing Chinese stock markets Market segmentation
This paper investigates the effect of strict segmentation on pricing in the context of the Chinese stock markets. The paper demonstrates that information asymmetry between foreign investors and domestic investors, liquidity effects, diversification effects, clientele bias, risk-free return differentials between foreign and domestic investors, and foreign exchange risks are significant factors in explaining discounts on shares that can only be owned by foreign investors.

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