The Empirical Research On Market Segmentation Of Dual-listed Companies In China

Due to existence of market segmentation by limitation in foreign capital equity, the phenomena often occur that listed company marks its shares with different prices in different markets respectively. Different from premium in foreign equity which is very common in western countries, China's listed company foreign-capital equities prices are lower than those of domestic-capital and H share lower than A share at large. While the RMB exchange rate is continuously climbing up and equity division almost finishes its reform, it's of great significance to make analysis on market segmentation through H share price discount in reality.Share price is subject to its market. The article concludes that no matter from the integral level of dual-listed companies or from the individual level, certain correlation exists between the revenue rate of H share and that of domestic stock market. Its reflection is more similar to in Hong Kong local shares and dual-listed A share revenue rate hardly has anything to do with Hong Kong stock market. As for theories that argue that four factors, like differences in liquidity, risk, demand or information, have some effects in H share price discount. The empirical rearch using panel data indicates that liquidity and demand diffirence contribute most to the H shares discount, while the company size for information asymmetry can not pass the test. And P/E ratios is a not suitable proxy for the risk.Lower mobility than. A share, investors' value & investment viewpoint and relatively lower risk preference, relatively ample supply of circulating shares and the market asymmetry,all impose negative effect on the H share price discount. In addition, constant RMB appreciation compared to HongKong currency is a positive contribution to increasing the investment value of H share. On the contrary, it contributes more to the value of A share price. And the equity division reform increases the circulating shares proportion of A share, promotes further marketization of equity pricing, enhances the transparent degree of listed company, and increases the investor's trust in listed company. These factors will decrease the separating degree caused by other factors in the two markets between A share and H share markets, minimizing the H share discount degree.To stem out H share discount step by step, lower market separating degree, we should enlarge the liquidity degree in H share market, refrain speculating behaviors in H share market, set up value investment virtue, reinforce the transmitting and revealing system between information, bring in more investors who have an overall consideration on the financial order and encourage arbitrage mechanism between A share and H share through financial innovation.