The Expectation of Exchange Rate and Foreign Share Discount: The Evidence from Hong Kong H-Share Discount

IF 0.3 Q4 BUSINESS, FINANCE

Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-02-26 DOI:10.1142/s0219091522500072

Kevin M. Zhao

引用次数: 0

Abstract

This paper examines the causal relationship between the expectation of exchange rate and the Hong Kong H-share discount relative to China A-shares over the period 2006–2015, during which the Chinese currency transitioned from a pegged regime to a managed floating regime. Results show that the expected appreciation of the Chinese yuan leads to the decline in the H-share discount after controlling for the effect of different market sentiments and several other factors that explain the foreign share discount in the existing literature. Our results remain robust after adopting alternative model specifications.

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汇率预期与外资股折价:来自香港h股折价的证据

本文研究了2006-2007年香港H股相对于中国A股的贴现率与汇率预期之间的因果关系，在此期间，中国货币从钉住制度过渡到有管理的浮动制度。结果表明，在控制了不同市场情绪的影响以及现有文献中解释外资股折价的其他几个因素后，人民币的预期升值导致了H股折价的下降。在采用替代模型规范后，我们的结果仍然稳健。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Pacific Basin Financial Markets and Policies BUSINESS, FINANCE-

CiteScore

1.30

自引率

11.10%

发文量

期刊介绍： This journal concentrates on global interdisciplinary research in finance, economics and accounting. The major topics include: 1. Business, economic and financial relations among the Pacific rim countries. 2. Financial markets and industries. 3. Options and futures markets of the United States and other Pacific rim countries. 4. International accounting issues related to U.S. companies investing in Pacific rim countries. 5. The issue of and strategy for developing Tokyo, Taipei, Shanghai, Sydney, Seoul, Hong Kong, Singapore, Kuala Lumpur, Bangkok, Jakarta, and Manila as international or regional financial centers. 6. Global monetary and foreign exchange policy, and 7. Other high quality interdisciplinary research in global accounting, business, economics and finance.