The unique segmentation of Chinese stock markets has attracted great attention of re- searchers. Much empirical work concentrates on analysing the segmentation and linkages between Chinese stock markets, as well as integration of Chinese with international stock markets (Wang and Iorio, 2007; Girardin and Liu, 2007). Meanwhile, some studies inves- tigate issues concerning discounts of B shares relative to A shares based on asset pricing models. Chan et al. (2008) and Chakravarty et al. (1998) show that information asymme- try explains a signicant portion of the cross-sectional variation of the B share discounts. Ma (1996) nds evidence that the price di erences between A shares and B shares.
