Impact Of The Overseas Listing Of Domestic Capital Markets

H-shares market is an important supplement to China's A-share stock market and the impact of H-share listing on A-share has always been a research focus. In this paper, based on the A-H dual listed company's daily price data, we used econometric methods to analysis the characteristics of A-shares and H-share market price behavior. First, we established DGM model to explore the impact of H shares' listing on liquidity and price volatility of A-share stock, found out that A-share stock price volatility and liquidity decreased after its H-shares listed, then proved that the A-share market and H-share market are partly segmented. Further, we did Granger causality test based on VAR model and VEC model to figure out and analysis A-and H- shares pricing power. The conclusion is that: both A-share and H-share market have some pricing power, and its pricing relationships are constantly changing due to market development, while the A-share pricing power gradually rising. Finally, based on our research result, we made the corresponding policy advice.