Understanding the B-share discounts: exchange risk in the Chinese stock market

Mo Zhang

Forskningsoutput: TidskriftsbidragKonferensartikelVetenskapligPeer review


This study investigates the impact of the exchange risk on B-share discount by developing an estimation model to decompose the valuation differential into two components, the difference between the expectation of future exchange rate and spot exchange rate and the difference between A- and B-shares’
expected returns, which both contain the exchange risk. The empirical tests explore that USD and HKD real exchange rates do matters for the B-share markets in SHSE and SZSE on the market level, however,CNY real exchange rate does not affect the A-shares’ expected returns in both stock exchanges. But when moving down to the industry level, the exposures to USD and HKD exchange risk become less obvious.Although it is hard to detect the clear pattern of impacts of real exchange rates on B-share discounts through A- and B-share expected returns, it is quite easy to find the effects of the Changes of exchange
rates CNY/USD and CNY/HKD on B-share discounts. Based on this study, if the investors expect strong CNY in the future, then the B-share discounts will decline.
Icke-referentgranskad vet. tidskriftGlobal Conference on Business & Finance Proceedings
Sidor (från-till)478-486
Antal sidor9
StatusPublicerad - 06.01.2013
MoE-publikationstypA4 Artikel i en konferenspublikation
Evenemang2013 Winter Global Conference on Business and Finance (GCBF) - Las Vegas, USA
Varaktighet: 02.01.201305.01.2013


  • 511 Nationalekonomi
  • KOTA2013


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