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

Öz

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.

Anahtar Kelimeler

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

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

Öz

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.

Anahtar Kelimeler

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

Kaynakça

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