Empirical Analysis The Relationship Of A Shares And H Shares

At context of the rapid development of the global economic integration around the world, the linkage between the prices of securities are increasingly significant, with the continuous development of China's economy, many domestic enterprises choose to overseas stock markets, which strengthened the ties of China's stock markets and international stock markets, but because of different levels of financial development, stock markets also have different regulatory and other factors, led to the same company's shares'prices in the different stock markets performance of "non-synchronous".So study the Linkage between segmentation of the market share is necessary.China's stock market is a highly fragmented market, many enterprises will choose to form a Hong Kong listed H shares of the stock market, and more and more will be listed in both places that a dual listing (Dual-listed), these companies are grew up in the domestic, but the stock price of different stock market performance after a first,show that there is information flow.This paper use Copula theory, cointegration, granger causality test methods study the linkage between A shares and H shares in the context of the financial crisis, as the stock market experienced a spike in the trend in this time, therefore, to the highest price as the cut-off point for bull and bear markets and all time periods, study the linkage between the two stock prices in these time.The empirical study found that the correlation between the A shares and H shares price index have the strong performance of the same trend movement, and while the probability of falling prices is greater than the probability of both. Respectively empirical study on the two indexes and two dual-listed company's shares found that the performance of the information flow between the grounds of the flow of H-share market to A-share market. By studying the yield of the two spillover effects, the results show that the A shares of the Volatility of the trend of vulnerability to H shares, on the contrary the performance is not obvious. The final conclusion of this article is that the linkage between A shares and H shares is obvious, and show the flow of information is H shares to A shares.