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Abstract I examine the price premium between A‐shares and H‐shares using a sample of Hong Kong, Shenzhen, and Shanghai stock market intraday data in 2004. Following the market‐microstructure approach, I reinvestigate the liquidity hypothesis by incorporating spread and depth. The study generates two important results. First, China A‐shares on average provide better market liquidity than their Hong Kong H‐share counterparts do. Second, after controlling for traditional liquidity measures and variables related to competing hypotheses, the percentage differences in quoted spread and depth between A‐shares and H‐shares still explain significantly the price premium. Endogeneity between spread and depth does not affect the major findings.
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