Positive Test Of The Market Segmentation Trend Between A-share Market And H-share Market

Market segmentation problem has long history between A-share market and H-share market, the five years big bear market in A-share market was caused by non-tradable shares lifting; And at the end of 2005, the non-tradable share reform guide the A-share market out of the wave of history's great bull market. In the5-year's bear market during 2001 to 2005, the A share's premiums to H shares continues to fall, However, the A share's premiums to H shares go high again in the big bull market from 2005 to 2007. The problem of the price difference between the market segmentation is an important indicator. From the big bear market background to the big bull market, dose the market segmentation between the A-share market and H-share market has changed along with the price differences, the market-segmentation between A-share market and H-share market have anything to weaken it? This issue is the focus of this paper. The positive testing of the market segmentation trend between A-share market and H-share market, can made us know what had happened in the two market's segmentation; if the A-share market wanted changes into a mature market wanted to internationalize and ultimately integration with the H-share market, it is necessarily to further weakened the market segmentation. As a result, the market segmentation research and how to weaken the market segmentation and proposed relevant policy recommendations, have some practical significance. This article uses linear regression, GARCH model, the revised international asset pricing model (IAPM), as well as yield and the volatility of the T test, Granger causality test, the common factor contribution and so an, Positive test the relevance and delivery of information between the H share market and A share market. This article will sample data into sample one (October 2003 to October 2005 bear market) and samples two (October 2005 to October 2007 the bull market). In this paper,the two samples in a market and market segmentation of the two samples were conducted positive test,positive test mainly from the two aspects of the relevance and the transmission of information. This paper positively tested the relevant of market index,the correlation between stocks and index,the correlation between stocks during the two samples;tested the transmission of information,this paper positively tested the market of information asymmetry , the market of information superiority , the flow of information between the market during the two samples. This article confirmed the positive test results,samples from one to two samples,two of the relevant market index increased significantly,the market stocks obvious correlation between the increase; Information asymmetry decreased significantly,A-share market information superiority gradually weakened the H-share market has enhanced information superiority;the flow of the two markets information between the closing price to the closing price and the opening price to the opening price has noticeably strengthened. Therefore samples from one to two,samples of A-shares and H-share market segmentation of the market has weakened. The introduction of price discovery theory test the flow of information between the closing price of A-shares to the H-shares and the closing price of H-shares to the opening price of A-shares, positive tests found that the flow of information between them in the samples is a basic symmetry in the two samples are non-symmetrical. It also has been analyzed the impact of the reasons for the non-symmetry,The market segmentation between A-share market and H-share market has weakened the market segmentation with the United States and other international stock markets also be weakened at the same time. Finally, the article also on how to further weaken the market between the two market segmentation put forward policy proposals, including expanding the size of the QDII and QFII, to speed up the return of H shares, the introduction of index futures and so on.