| As a result of strict capital control securities market of our country was segmented badly into three parts: A-, B- and H-shares markets. And different from premium of foreign shares in other countries, the market segmentation led to the unique phenomenon of foreign shares discount in China with H-shares at a deep discount from A-shares. Currently H-shares market has become the important place for enterprises raising foreign capital instead of B-shares market and the IPO of A+H gets popular. So in this context it is meaningful to research on the H-shares discount and analyse its influence factors.Empirical tests were conducted from the firm characteristics and market environment respectively. On the one hand, the paper analyzed H-shares discount theoretically from information asymmetry, liquidity, demand elasticity, risk choice and the proportion of nontransferable shares, chose and designed the proper variables and constructed the panel model to examine each influence factor to probe into the main factors of H-shares discount. Based on monthly data the empirical result showed: information asymmetry, liquidity effect, relative risk and the proportion of nontransferable shares were the main factors of H-shares discount. The demand elasticity was eliminated from the panel model equation with less statistical significance. On the other hand, by the analyse of the correlation between H-share and Hengseng Index, this paper figured H-shares behaved more like Hong Kong stocks than mainland Chinese stocks and partially explained the fall of H-shares discount during the sample period.Under the expectancy of markets amalgamating, according to the conclusions of this paper and the reality of securities market, the paper offered four suggestions to dispel the market segmentation between A- and H-shares: introduce more unrestricted investors; provide CDR products; strengthen the correlation between A- and H-shares markets; enhance the cooperation of mainland and Hong Kong securities markets. |
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