{"title":"The Expectation of Exchange Rate and Foreign Share Discount: The Evidence from Hong Kong H-Share Discount","authors":"Kevin M. Zhao","doi":"10.1142/s0219091522500072","DOIUrl":null,"url":null,"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.","PeriodicalId":45653,"journal":{"name":"Review of Pacific Basin Financial Markets and Policies","volume":" ","pages":""},"PeriodicalIF":0.3000,"publicationDate":"2022-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Review of Pacific Basin Financial Markets and Policies","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1142/s0219091522500072","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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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.
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.
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