The Relation Between A Shares And H Shares

With many large and good quality corporations listed in Hong Kong recently, the relationships between A share and H share become the focus of discussion once again. People proposed many suggestions according to the mainland market and Hong Kong are segmented, though there are not many article talks about it. This thesis try to give a detailed inspection of the A-share and H-share market segmentation, changes in the separation of different periods and different market segmentation to market information dissemination mechanism under the conditions of their stay.In this paper, ICAPM,VECM,Granger causality test,impulse response and variance decomposition method are used to test the segmentation between the mainland and Hong Kong markets. By this empirical research, following conclusions was made:1. There is still segmentation between the mainland and the Hong Kong market. However, the correlation between the shares which listed in the both market was significantly enhanced.2. Two different periods of market segmentation happening to a significant change in correlation with the trend of a gradual increase.3. After H-shares index futures was introduced, the information flows between the two markets have undergone major changes in both direction and manner, Many H-shares with A-shares on the leading edge, also, H-shares on the A-share volatility fluctuations have a greater impact.