On the Comovement of A and H Shares

Using intraday high-frequency data, this article investigates the comovement between the A shares and H shares of twenty-one cross-listed Chinese companies. It is found that only a small portion of the cross-listed Chinese companies have a comovement in their A-and H-share prices. The results suggest that the stock markets of China and Hong Kong are segmented. For the comoving stocks, the China stock market plays a major role in the price discovery contribution. We also find that companies that have a relatively liquid H-share market tend to have a comovement in their A- and H-share prices, and that the A- share price seems to play a more important role in finding the implicit efficient price for cross-listed stocks.