Chinese Stock Market Information Transmission Between A And H Shares In Empirical Research

Compared with other countries' security markets, China's stock marketis highly segmented. There are many reasons contributed to thisphenomenon, including both institutional and non-institutional factors.Because of these historical causes, two thirds share equity could not betraded in stock market, which leads to such unfair actuality as one share withdifferent rights and different profits. It has heavily affected the developmentof security market.This article empirically analyzes the performance and changes of themutual leading relationship between A and H shares before and after "ShareStructure Reform". Hereby we can find the influences of this reform on thetwo segmented markets.The main conclusions are as follows:1) Share Structure Reform is a significant event in the history of Chinasecurity market, and it has aroused profound effect on stock market. Afterthis reform, information flow between A and H share markets increasedgradually, and the information flow from "H" to "A" took the dominanttendency.2) The intensification of information flow help to narrow the discountrange between A and H share. The state of the two markets is changing fromcomplete to partial segmentation.