The Post-Event Price Behaviour of Dual Listed Chinese B and H Shares

This paper studies the dual listing impacts of Chinese A shares on B and H shares. We use three models employed by Kothari and Warner (1997) to examine whether there are average abnormal returns of B or H shares on the event day of dual listing and the cumulative average abnormal returns (CARs) after the dual listing. The test results show that there are no significant average abnormal returns for both B and H shares on the event day of dual listing. However, CARs are observed significantly for dual listed B shares in all three models. For the dual listed H shares, the test results show that the CARs are generally insignificant.