Empirical Research On Price Difference Between China A-Share And H-Share

The EMH believes the dual-list company, has same base information, so the stock has same cash flow and risk exposure, when it trade in different stock market, the stock prices must be consistent. But in actually, the dual-list company in different stock market always shows different price, it is a common phenomenon in national capital market, what is called"Stock Market Segmentation". This segmentation phenomenon shows particularly between Chinese A-share and H-share, it is shows foreign stock are discount with domestic stock that is different with other segmentation stock market. So this paper used the daily data of dual-list companies to research the different characteristic of A-share and H-share; the information spread of two stock market, and discussed the deep cause of the price difference between A-share and H-share.This paper is based on the dual-listed company daily data, used Panel-data Model,Granger-causality analysis, and Event study analysis, do empirical research with the dual-list company, the result tell us: (1) The information asymmetry, different investment theory, different liquidity, and different demand (supply) elasticity are important facors of H-share discount with A-share. (2)The Chinese stock market segmentation between A-share and H-share is gradually improved in recent years, the information always spread from H-share to A-share, and the stock market segmentation still serious between this two stock market. (3) Dual-list event in different stock market can brings unexpected returns to the original stock market, so the companies search for dual-list become more and more common. The conclusion has useful meaning to improve our market segmentation and intermationalization our capital makets.