| As the present of market segmentation, the dual-listed company who listed on separate market has different stock prices. In China's Mainland stock market and Hongkong stock market, where exists the serious problem of segmentation, it give rise to the obvious price discrepancy between A-share and H-share. Compared to the common phenomenon in other countries that the stock price of the foreign market is usually higher than the domestic market's , China has a "puzzle" that the price of H-share is lower than A-share. This paper is aiming at explaining this special phenomenon theoretically and empirically.In this paper, the author firstly reviews the relevant theories about market segmentation and price discrepancy and previous research results on this topic. Then, making an emphasis on the case analysis by selecting 29 dual-listed companies which have listed both on Mainland stock market and Hongkong stock market as a sample. The observation period is from Jan 1st, 2006 to Feb 27, 2009 and all the analysis is based on the penal data on daily trading. With the combination of the modern econometric models, the author intend to explain this special economic phenomenon more deeply and comprehensively.Finally, based on the previous theories and the empirical research, the author gives the conclusions as follows: the factors including information asymmetry,risk preference,investment choice,market background difference and system risk are the important factors which can have a heavy effect on the price discrepancy between A-share and H-share. Owing to the barriers on the whole process of information transfer, the information communication direction between these two markets has changed reversely, which makes the conclusion is deviated from the theory hypothesis. Also, because the complexity and the unpredictability of the Chinese stock market, the price discrepancy between A-share and H-share can not be explained by the traditional asset portfolio theory. |
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