Capturing the Chinese A-shares and H-shares Anomaly

The behavior of the price differential between A-shares and H-shares of dual-listed companies will be studied in this article for the sample period from 2006- 2017. 

This paper discusses whether a share class selection mechanism applied to a universe of Chinese stocks can deliver a superior return/risk reward outcome compared to a market-capitalization weighted China A-shares benchmark.

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Supporting documents

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