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Price Comovement And Market Segmentation Of Chinese A- And H-Shares: Evidence From A Panel Latent-Factor Model, Yingjie Dong, Wenxin Huang, Yiu Kuen Tse
Price Comovement And Market Segmentation Of Chinese A- And H-Shares: Evidence From A Panel Latent-Factor Model, Yingjie Dong, Wenxin Huang, Yiu Kuen Tse
Research Collection School Of Economics
This paper examines the price comovement of cross-listed Chinese A- and H-shares using a panel model with latent factors and a heterogeneous long-run structure. Our model is more flexible than the cointegration system and is estimated using the data-driven Cup–Lasso method. The long-run H-share price discounts are heterogeneous across different groups of stocks. We have identified both stationary and nonstationary latent factors in the price differentials, which are driven by different economic variables. By analyzing the factor loadings of the nonstationary latent factor, we identify some trading-friction and information-friction variables that have effects on the price convergence between the A- …
R&D Subsidies In Permissive And Restrictive Environment: Evidence From Korea, Yumi Koh, Gea M. Lee
R&D Subsidies In Permissive And Restrictive Environment: Evidence From Korea, Yumi Koh, Gea M. Lee
Research Collection School Of Economics
This paper investigates the extent to which a regulatory environment for R&D subsidies shapes the magnitude and direction of R&D subsidies set by a government and consequent innovation paths. When the WTO adopted a permissive regulatory environment, we find that the Korean government increased R&D subsidies significantly (89.21%) and selectively so for firms and industries with higher returns. Recipient firms conducted less basic research and more development research. Improvements in innovations were mostly incremental and minor. However, such changes did not persist once the WTO switched to a restrictive regulatory environment. Our findings show that the regulatory environment imposed by …