Suppose that I am a SEK investor and own a stock of a Chinese company listed in HKD in Hong Kong.
What is my actual currency exposure in this case?
Is my exposure the same as if I would own this in CNY? Or does the currecy HKD make a difference?
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There are two types of shares that you are talking about:
H Share - HKD traded at Stock Exchange of Hong Kong, held by a Hong Kong nominee service (Think ADR)
A Share - CNY (Onshore, not to be confused with Offshore CNH) traded at Shanghai and Shenzhen Stock Exchange; can be purchased by Qualified Foreign Institutional Investor (QFII) using CNY; can be purchased by individuals via Stock Exchange of Hong Kong using CNH:
The price relationship betweeen H Share and A Share is absolutely not:
H Share x Exchange Rate = A Share
The price is roughly:
H Share x Premium Ratio = A Share
Where Premium Ratio is around 0.9 to 4.0, i.e. A Share is more expensive even after factoring in exchange rate.
The weighted average of the Premium Ratio is represented by Hang Seng Stock Connect China AH Premium Index.
The reason that the Exchange Rate is not equal to the Premium Ratio is that:
As a side note, even the largest China ETF: iShares MSCI China (MCHI) is holding more H Share than A Share.
No matter if you invest in H Share or A Share through Stock Connect, you end up with HKD or CNH in Hong Kong. Given that Hong Kong is a free market for now, CNH can be exchange to HKD at market rate, and HKD can be exchanged to SEK at market rate.