Political Uncertainty and A-H Share Premium

Using the turnover of city-level local leaders in mainland China, we construct a measure of political uncertainty and use this measure to explain the change of A-H share premium. Our empirical evidence shows that political uncertainty significantly reduces A-H share premium. The reduction effect is lower for the turnovers with lower political uncertainty, stronger for firms with more political exposure and in cities with lower marketization level and economic conditions. Our results are robust to alternative specifications