The Comparative Research On Chinese Stock Market Segmentation

The segmentation phenomenon of domestic-foreign-capital stock markets exists obviously in chinese stock markets. The domestic-capital stock market is A shares, the foreign-capital stock markets are mainly B shares and H shares. There are market segmentations between A shares and B shares as well as between A shares and H shares. Segmentation between stock markets restricts reasonable capital allocation function of security market, distorts stock price in markets, reduces the capital utilization efficiency of the society and investors, and results in many unreasonable phenomenons in stock markets. In order to further understand and grasp the states of market segmentation between domestic-capital stock market and foreign-capital stock markets, this paper, on the existing literature research, made empirical tests and analysis for the extent of segmentation and its changed trend between A- and B-share market and between A- and H-share market, for the interactive relationships between the three markets, and made empirical comparative study on stock price differences as well as their main influence factors for AB-stock and AH-stock of multiple listed company.Firstly, the paper calculated their time-varying conditions correlation coefficient based on multivariate GARCH model. Then the paper found that A shares correlates with B shares highly and changed little, but with H shares inferiorly and changed much. Secondly, based on VAR model, the paper made the granger causality tests and the analysis of impulse response and variance decomposition for the index returns of A shares , B shares and H shares, then the paper found that A shares has greater influence on B shares than H shares, B shares has greater influence on A shares than H shares, H shares has greater influence on A shares than B shares.Finally, the paper made an empirical research on the price differences and their influence factors for AB-stock and AH-stock of multiple listed company by using a panel data model, which was construted according to a built theoretical model of price difference of domestic-foreign-capital shares based on Eun (1986) and Grossman and Stiglitz (1980), and analysed empirically the time series of price difference of AB-stock and AH-stock of multiple listed company, the results showed that the price differences of domestic-foreign-capital shares are influenced significantly by the market yields, liquidity and share fundamentals, the price differences of AB-stock of multiple listed company are little steady and influenced more greatly by market yields and liquidity as their market volatility is bigger, while the price differences of AH-stock of multiple listed company are more steaty and influenced more greatly by the share fundamentals as their market volatility is smaller. The results also show that the price difference of AB-stock is bigger than the price difference of AH-stock in general, the time sequence curve of AB-stock price difference declines while the time sequence curve of AB-stock price difference is steady.The paper got the related conclusions based on the empirical research and analysis. The main conclusions are as follows: (1) The trend of market integration between A shares and B shares is evident, the level of market segmentation between A shares and B shares is low, and the trend of integration between A shares and H shares is weak, the degree of market segmentation between A shares and H shares is higher and basically steady. The market information mainly flow from A-share market to B-share market and H-share market, and the mobility of information between A-share market and B-share market is stonger than the one between A-share market and H-share market while the mobility of information between A-share market and H-share market is stonger than the one between B-share market and H-share market. (2) Overall, the average yield of B shares is higher than the one of H shares, AB-stock price difference decreases gradually, the average yield of H shares is equivalent to the one of A shares, AH-stock price difference is basically stable.(3) H-stock market is relatively mature, the investers pay more attention to the value investment, while A-stock market and B-stock market are strongerly speculative.