The Empirical Research Of Differences Between A Shares And H Shares

With the basic completion of shareholder structure reform of Chinese securities market, A share market has entered the full circulation of the times. At the same time, the securities market is gradually opening to integrate with international capital market, and a lot of domestic enterprises have listed in Hong Kong's securities market. But for the market segmentation, there has been price difference between A share and H share in Crossed-listed companies and the difference has changed. According to many scholars' research, information asymmetry, flowability difference, difference in price elasticity of demand and difference in investment philosophy and so on play an important role in this price difference.Based on previous research, the thesis sets the time which from January 3,2008 to December 31,2009 as sample period and 49 A—H shares listed companies as sample to test effectiveness of four theories which are theory of information asymmetry, theory of flowability difference, theory of difference in price elasticity of demand and theory of difference in investment philosophy, after many listed companies have finished the shareholder structure reform, by random-effects model.The study shows the theory of information asymmetry and the theory of difference in investment philosophy can explain the phenomenon of price difference between A share and H share. However, for restriction of explanatory variables, the theory of flowability difference and theory of difference in price elasticity of demand can not significantly explain this phenomenon.According to the result, the thesis makes some suggestions, such as strengthening information disclosure, developing a mature investment philosophy, speeding the development of QFII and QDII, speeding the financial innovation and setting up arbitrage mechanism and so on...