Valuation of Cross Listed Stocks: Panel Data Analysis on Shanghai and Hong Kong Stock Exchange

Abstract

Trading a company's stocks in two different stock exchanges in the same country is stated as cross-listed. While financial statements and cash flow of cross-listed companies are same, prices of stocks vary in each stock exchange. The price difference in the stock exchanges causes the market value of the company to be calculated differently. Because the price difference can affect the investors' decision, the reasons for price differences of cross-listed stocks are researched. Panel Data analysis is done by least squares method in the model by using the 6-years data of 40 companies that are traded in the Shanghai and Hong Kong Stock Exchange for 2010-2015 period. In the model; stock prices and variables such as interest rate, inflation rate, exchange rate, gold price, oil price, return on assets ratio, return on equity ratio and current ratio are used annual data. As a result of analysis, it is determined that the stocks price on the Hong Kong Stock Exchange are affected at the rate of 52,57% by the stock price on the Shanghai Stock Exchange. The stocks price on the Shanghai Stock Exchange are affected at the rate of %38,80 by the stock price on the Hong Kong Stock Exchange.

Keywords

• International Portfolio Management,Cross-Listed,Stocks Valuation,Panel Data Analysis.

Çapraz Kayıtlı Hisse Senetlerinin Değerlemesi: Şanghay ve Hong Kong Borsaları Üzerine Panel Veri Analizi

Abstract

Bir şirketin aynı ülke sınırları içerisinde ikinci bir borsada işlem görmesi çapraz kayıt olarak ifade edilmektedir. Çapraz kayıtlı şirketlerin finansal tabloları ve nakit akımları aynı olmasına rağmen, hisse senetlerinin borsa fiyatları farklılık göstermektedir. Hisse senetlerinin borsalardaki fiyat farklılığı, şirketin piyasa değerinin de farklı hesaplanmasına neden olmaktadır. Bu nedenle çalışmada çapraz kayıtlı hisse senetlerinin borsa fiyatlarındaki farklılığın nedenleri araştırılmaktadır. Uygulamada Şanghay ve Hong Kong Borsalarına kayıtlı 40 şirketin, 2010-2015 dönemine ait 6 yıllık verileri kullanılmıştır. Hisse senedi fiyatı, faiz oranı, enflasyon oranı, döviz kuru, altın fiyatı, aktif kârlılık oranı, özsermaye kârlılık oranı ve cari oran değişkenleri modelde kullanılmıştır. Panel veri en küçük kareler yöntemiyle analiz yapılmıştır. Analiz sonucunda Şanghay Borsasındaki hisse senetlerinin fiyatının, Hong Kong Borsasındaki hisse senetlerinin fiyatından %38,8; Hong Kong Borsasındaki hisse senetlerinin fiyatının Şanghay Borsasındaki hisse senetlerinin fiyatından %52,57 oranında etkilendiği tespit edilmiştir.

Keywords

• Uluslararası Portföy Yönetimi,Çapraz Kayıt,Hisse Senedi Değerlemesi,Panel Veri Analizi

References

1. Alexander, G.J., Eun, C.S. ve Janakiraman, S. (1988). “International listings and stock returns: Some emprical evidence”, Journal of Financial and Quantitative Analysis, 23 (2), 135-151.
2. Antonioni, P. ve Flynn (2011). S.M..Economics for Dummies, JohnWiley & Sons, Inc., Chishester.
3. Atabay Baytar, R. (2012), "Türkiye ve BRIC Ülkeleri Arasındaki Ticaret Hacminin Belirleyicileri: Panel Çekim Modeli Analizi", İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi 11, 21, 403-424.
4. Baltagi, B.H. (2005). Econometric analysis of panel data (Third Edition), John Wiley&Sons, Ltd., England.
5. Berg, Marco (2012). Cross Listing and Valuation Differences Between The Hong Kong and Chinese Stock Markets, Aalto University School of Economics, Master’s Thesis of Department of Accounting and Finance Aalto.
6. Callen, J.L., Lai, K. ve Wei, S.X. (2008), “Understanding the Variation of Foreign Share Price Discounts: A Study of Dual-listed Chinese Firms”, SSRN Electronic Journal, 2-43, http://ssrn.com/abstract=1343591.
7. Cetorelli, N. ve Peristiani, S.(2010), “Firm Value and Cross-Listing: The Impact of Stock Market Prestige”, Federal Reserve Bank of New York, Staff Report no:474, New York. Working Paper Series. Son Erişim:14.10.2016,http://www1.wiwi.unimuenster.de/cqe/forschung/workshops/forthcomingworkshops/helsinki/Paper-Callen-Helsinki.pdf.
8. Chen, G., Firth, M. ve Kim. J.B.(2012),”The Use of Accounting Information For The Valuation of Dual Class Shares Listed on China’s Stock Markets”, Accounting and Business Research, 32, 3, 123-131.

9. Choi, O.T.K., Wong, H., Yiu, C. K. F. ve Yu, M. (2013). “In depth analysis of the dually listed companies in Hong Kong and China Stock Markets prior and posterior to the global financial turmoil”, International Journal of Economics and Finance, 5(10), 100-110.
10. Dale , A.J. ve Jithendranathan, T.(2001). Fluctuating Returns of Dual Listings: Domestic and ADR Markets, Preliminary Draft,Son Erişim: 14.10.2016. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=263178
11. Hkust, C. L. ve Hkust, M. S. S. (2011). “Dual listed shares and trading”, Working papers at CFA Institute, 1-40.
12. Internet: World Federation of Exchanges Market Highlights. (2017). URL: https://www.world-exchanges.org/home/index.php/statistics/monthly-reports. Son Erişim Tarihi: 07.10.2017.
13. İnternet: Charltons. (2015). Listing international companies on the Hong Kong Stock Exchange: 2015 Update. URL: https://www.charltonslaw.com/legal/ipo/Listing-international-companies-onthe- Hong-Kong-Stock-Exchange-2015-update.pdf. Son Erişim Tarihi:30.03.2017
14. Kaul, A. ve Mehrotra, V.(2006), “The Role of Trades in Price Convergence: A Study of Dual-Listed Canadian Stocks”, Journal of Empirical Finance, Vol.14, pp.196-219.
15. King, M.R. ve Segal, D.(2004), “International Cross Listing and The Bonding Hypothesis”, Bank of Canada Working Paper 2004-17.
16. Kong, J. ve Lu, D. (2005). “Impact of dual listings on valuation and liquidity: evidence from China’s Stock Markets”, The Journal of Economic Asymmetries, 2(2), 129-143.
17. Kot, H. W. ve Tam, L. H. K. (2015). “Are stock price more informative after dual-listing in emerging markets: Evidence from Hong Kong listed Chinese Companies”, Pasific Basin Finance Journal, 36, 31-45.
18. Liang, J. (2010). Market segmentation and dual-listed stock price premium: An Empirical Investigation of the Chinese Stock Market, University of St. Adrews, A Thesis Submitted for the Degreeof PhD, U.K.
19. Tatoğlu Yerdelen, F. (2013), İleri Panel Veri Analizi, Beta Basım Yayın Dağıtım A.Ş., İstanbul.
20. Wang, S. S. ve Li, J. (2004). “Location of trade, ownership restrictions and market Illiquidity: Examining Chinese A and H Shares”, Journal of Banking & Finance, 28, 1273-1297.
21. Wang, D. (2006). Cross-autocorrelation of dual listed stock portfolio returns: evidence from the Chinese Stock market, IESE Business School, Working Paper.
22. Yawei, W. (2005). Dual listing in Hong Kong and its impact on the performance of a shares, Hong Kong Baptist University, Degree of Bachelor of Business Administration, Hong Kong.
23. Yavuz Ataklı, R (2016), Coğrafya ve Ekonomik Büyüme İlişkisi: Panel Veri Analizi, Çanakkale Onsekiz Mart Üniversitesi Sosyal Bilimler Enstitüsü İktisat Anabilim Dalı, Doktora Tezi, Çanakkale.