The Empirical Study About The Price Difference Between Chinese A-share And H-share

Because of the ownership restrictions in China's stock markets, shares of many listed companies in China are segmented into two classes: A-shares available only to domestic investors in Chinese mainland and H-shares available only to foreign investors. This paper focuses on three main points: the effects of listing markets on H-share prices, the lead-lag relationships between A-share and H-share, the huge discounts of H-shares relative to A-shares. The respective results are as follows: H-share returns are effected by Hong Kong stock markets, as well as A-share markets; A-share returns granger-cause H-share returns, and vice versa; the discounts of H-shares are mainly affected by the liquidity differences between A-share and H-share markets, besides risk preference differences, supplying differences and information asymmetry.