Researcher ORCID Identifier

0009-0009-9377-864X

Graduation Year

2025

Date of Submission

4-2025

Document Type

Campus Only Senior Thesis

Degree Name

Bachelor of Arts

Department

Economics

Reader 1

Richard Burdekin

Abstract

This thesis investigated whether A-shares and H-shares of dual-listed Chinese companies reacted differently to earnings announcements, using an event study and regression analysis across two distinct periods: 2016–2017 and 2023–2024. Analysing 68 dual-listed firms through event-level cumulative abnormal returns (CARs) and earnings surprises, the study found that, in most cases, there were no significant differences between the two share classes. However, small-cap firms during the 2023–2024 bear market showed a consistent pattern of A-shares outperforming H-shares in response to both positive and negative earnings surprises. Regression analysis further revealed that small-cap stocks were more sensitive to earnings surprises, and H-shares tended to lag A-share across negative earnings announcements. These findings suggest that while China’s financial market integration has progressed, structural and behavioural differences persist.

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This thesis is restricted to the Claremont Colleges current faculty, students, and staff.

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