A Study On The Information Transmission Effect Of Dual- Listing Company Between Securities Markets

Hong Kong securities market plays an important role in bridging Chinese mainland securities market and international securities market. Recent years, with an increasing exchange in economic and finance, those companies already listed in H shares try to"come home", and there is an integrated trend between the two securities markets. Therefore, A+H dual-listing companies not only be of important to government, firms and investors but also be a core subject in the finance literature. This thesis studies information transmission between Chinese mainland securities market and Hong Kong securities market by dual-listing companies. On the one hand, it helps to analyze problems in integration and development in the future; on the other hand, it contributes to financing for dual-listing companies and channel investor into rational decisions.This thesis starts with theoretical analysis on information transmission in securities market, using market segmentation theory, market contagion theory, and price discovery theory. Then, this thesis computes A+H Composite Indexes by A+H dual-listing companies'price. Based on the Indexes, a study on the comovement effect is followed. After divided information into market information and company information, this thesis does empirical study on information transmission between two securities markets individually. On the basis of the investigation, the author brings forward several suggestions on how to integration between the two securities markets.The empirical results indicate that co-integration and lead-lag relation exist in the two markets since 2005. The event study results on market information transmission reveals that it has great influence on the two markets, and the Hong Kong securities market is capable of absorbing and reaction information from Chinese mainland securities market correctly by dual-listing companies. The event study results on company information transmission shows that annual report of A+H dual-listing companies affects the two securities markets to some degree. In a comparison analysis between the market information transmission and company information transmission, this thesis finds there are differences in information disclosure, flow and absorbability.