Political Uncertainty and A-H Share Premium

Posted: 12 Sep 2019

See all articles by Xu cheng

Xu cheng

City University of Hong Kong (CityUHK), Department of Economics & Finance, Students; Huazhong University of Science and Technology, Students

Junbo Wang

Dept. of Economics and Finance, City Univ. of HK

Dongmin Kong

Department of Finance, Huazhong University of Science and Technology; School of Finance, Zhongnan University of Economics and Law

Date Written: September 4, 2019

Abstract

Using the turnover of city-level local leaders in mainland China, we construct a measure of political uncertainty and use this measure to explain the change of A-H share premium. Our empirical evidence shows that political uncertainty significantly reduces A-H share premium. The reduction effect is lower for the turnovers with lower political uncertainty, stronger for firms with more political exposure and in cities with lower marketization level and economic conditions. Our results are robust to alternative specifications.

Keywords: A-H premium, Political uncertainty, Local leaders

JEL Classification: D80, E61, E65, G12, G18

Suggested Citation

cheng, Xu and Wang, Junbo and Kong, Dongmin, Political Uncertainty and A-H Share Premium (September 4, 2019). Available at SSRN: https://ssrn.com/abstract=3448277 or http://dx.doi.org/10.2139/ssrn.3448277

Xu Cheng (Contact Author)

City University of Hong Kong (CityUHK), Department of Economics & Finance, Students ( email )

Hong Kong

Huazhong University of Science and Technology, Students ( email )

Wuhan
China

Junbo Wang

Dept. of Economics and Finance, City Univ. of HK ( email )

83 Tat Chee Ave., Kowloon Tong
Kowloon Town
Kowloon, 220
Hong Kong
34429492 (Phone)
852-2788-8806 (Fax)

Dongmin Kong

Department of Finance, Huazhong University of Science and Technology ( email )

Wuhan, Hubei 430074
China

School of Finance, Zhongnan University of Economics and Law ( email )

Wuhan, Hubei 430073
China

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