Ownership restriction and stock price: Empirical study from Chinese stock market

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Market segmentation and restrictions on investment options lead to different required return by different groups of investors and thus result in different pricing of shares that are for domestic investors only and shares that are available to foreign investors even when the two types of shares have same rights on dividends and control over the company. Normally the domestic-only shares trade at a discount compared to their corresponding shares available to foreigners however the A shares and H shares in the Chinese stock market shows an opposite pattern. This thesis aims to examine the underlying reasons for the unique Chinese asset-pricing pattern and via using an International Asset Pricing Model analyse the theories and frameworks introduced by the relevant previous studies. Our purpose is to test if conventional IAPM model and equilibrium return rate model have explaining power for Chinese stock price phenomena. The findings of this thesis will ...