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

Year 2019, Volume: 10 Issue: 3, 492 - 507, 23.10.2019

Faruk Dayı Ahmet Aksoy

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

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