Empirical Analysis On The Price Gap Between A-share And H-share Of The Dual-listed Company

In the context of economic globalization, for absorbing foreign capital and increasing overseas awareness, more and more enterprises issue shares in multiple markets, so a group of so-called dual or multiple listed companies appeared. As a listed company's stock with the same dividend and voting rights, in theory they should be the same price. But for withstanding external financial shocks and protecting the domestic market, many countries have developed a number of policies that hinder the capital flows between different markets, resulting in the share price of the same listed company is different in different market.China's stock market also exists such a situation, a listed company with H shares and A shares of price differences is one typical example. However, deviating from premium of foreign share relative to domestic share in the rest of the world market, in China the price of H share lower than that of A share in long term. This makes the study about price difference between A shares and H shares have obvious theoretical significance. Meanwhile, studying the phenomenon of price difference between A shares and H shares, and then finding out the reasons for this phenomenon will play an important role in promoting mainland enterprises to be listed in Hong Kong and improving the effectiveness of financing. Promoting the mainland enterprises to be listed in Hong Kong has many benefits. On the one hand it makes the enterprise itself get foreign investment in a relatively familiar environment, and then obtain more development opportunities; On the other hand it makes foreign investors get more investment choices to share the fruits of Chinese economic development. And because listed companies in the Hong Kong stock market belong to a relatively homogeneous industry, so mainland enterprises are listed in Hong Kong will make its composition more diversified and then attract more investors, and promote the prosperity of the Hong Kong market. In sum the study of the price difference between A shares and H shares also has important practical significance.Based on results of relative studies, this paper concludes the factors that may lead to premium of A share relative to H Share in our country. Then the performance characteristics and the influencing factors of the price gap between dual-listed companies'A shares and H shares in 2007-2009 were analyzed by a variety of empirical analysis.First of all, this paper analyzed time-varying characteristics and industry characteristics of price gap between dual-listed companies'A shares and H shares in sample period, and found the price of H share lower than that of A share in most of the sample period. The price gap between A shares and H shares of dual-listed companies show a significant difference in different industries, although the trend of four sample industries'price gap is basically the same, but the price gap of finance-insurance industry was significantly lower than the spread manufacturing, mining, transportation-storage industry and average of all the dual-listed companies.Second, based on using factor analysis to evaluate sample companies' business performance, study the relation between dual-listed companies'business performance and price gap. Because of the differences in investment philosophy, compared to investors in A-share market, investors in H-share market often pay more attention to the operating performance and investment value of the listed companies, which makes for the listed companies of good business performance, investors'evaluation of the two markets converge, therefore, price gap between A shares and H shares may be smaller; the opposite for the listed companies of the poor performance, the evaluation difference between the two class of investors is larger, so the price gap may be greater. Although the empirical results tend to show above-mentioned relationship exist, but this relationship is not significant. Because there are many factors can influence the price gap between A shares and H shares of dual-listed companies, the interference from other factors is likely to distort this relationship.Then; in order to reveal the relationship between market trend of listing place and price gap, this paper test the relativity between rate of return of dual-listed companies'A shares and H shares and market index in sample period, and test the cointegration between HSCEI and HSI, the cointegration between HSCEI and HS300. Through the study found the trend of A shares is more relevant to the trend of mainland stock market, and the trend of H shares is more relevant to the trend of Hong Kong stock market. In sample period, HSCEI and HIS, HSCEI and HS300 exist the cointegration. The trend of dual-listed companies'share price movements of its stock was subject to the impact of local market trend.Last,, using A share and H share'closing prices, turnovers and other relative data of Sample companies establish a fixed effect variable intercept Panel Data model to test the explanatory power of information asymmetry, demand elasticity differences, differences in liquidity, differences in risk preference, market trend where publicly traded on the price gap. Panel Data model estimates show that information asymmetry, liquidity difference and market trend in listing place can explain the phenomena better, while the elasticity of demand differences and differences in risk preference can not explain this phenomenon well.Deviating from the previous researches, this paper analyzed the relation between dual-listed companies' business performance and price gap by an empirical analysis. And factor analysis was used in the evaluation of performance.