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Two essays on American depositary receipts: an analysis of the impact of cross-listing on price discounts and merge & acquisition activities
|關鍵字:||美國存託憑證;A股;H股;中國公司;折價;價格因子;國家政策;情緒;五年計劃;國有股;併購活動;監理制度;資訊不對稱;綜效。;American Depositary Receipts (ADRs);A-shares;H-shares;Chinese public listed companies;discount;price factor;financial policies of the Chinese government;sentiment;5-year plan;state-owned enterprises (SOEs);Merger Activities;supervision;information asymmetry;synergy.||引用:||References Alexander, G. J., Cheol, S. E., Janakiramanan, S., 1988. International listings and stock returns: some empirical evidence. Journal of Financial and Quantitative Analysis 23, 135–151. Amihud, Y., 2002. Illiquidity and stock returns: cross-section and time series e?ects. Journal of Financial Markets 5, 31–56. Arquette, C., Brown, W., Burdekin, R., 2008. US ADR and Hong Kong H-share discounts of Shanghai-listed firms. Journal of Banking and Finance 32, 1916–1927. Auguste, S., Dominguez, K.M.E., Kamil, H., Tesar, L.L., 2006. Cross-border trading as a mechanism for implicit capital ?ight: ADRs and the Argentine crisis. 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This dissertation works on two issues related to American Depositary Receipts (ADRs): (1). Government policies or Investor sentiment? An reexamination of pricing dynamics of discounts between Chinese cross-listed stocks, and (2). American depositary receipts and merger activities.
The first issue mainly explores price discounts of Chinese public listed companies which have issued ADRs (overseas shares in the U.S. market), H-shares (shares traded in the Hong Kong market) and A-shares (shares traded in the China market). We use time-varied panel data models to investigate the effect of different market share prices are influenced by China's gradual economic transformation from a planned economy to a free market economy. We also conclude the price discounts dwindle due to the gradual transformation of the economic systems. Furthermore, the share price deviations in different markets should be deeply affected by the long-term centrally planned economy and financial policies of the Chinese government, and not like other countries, share prices are much influenced by share liquidity, investors sentiment and other factors.
On the second issue, we finds that after ADRs were issued, the companies average abnormal return increased significantly, and the average abnormal returns generated through cross-border merger activities increased from 2.3% to 2.9% compared to before the issuance of ADRs. This is because the issuance of ADRs not only strengthens the level of supervision, and reduces the directors' motives for their own self-interest during merger activities; it also reduces the costs caused by market segmentation and information asymmetry. The increase of abnormal return during merger activities will increase in sync with merger activities.
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