A Shares And H Shares Of Price Discovery Empirical Research

In this paper, we consider A shares and H shares`s development as the background,consider the economics analytical framework as base, combing financial engineering theory, using econometric method. We investigate the price discovery between H shares and A shares,and use event study to research the price effect on H shares.The research employs the event study analysis, market model and GARCH(1,1) model to obtain average abnormal return (AAR) and cumulative average abnormal return (CAAR) to research the price effect on H shares.And the research paper use granger test to research the Granger cause and does not Granger between H shares and A shares after H shares return to A share market.The empirical results of this study are as followed :1. H shares return to A-share market can influence the H shares prices with positive effect before H shares return ,because investors consider it as a good news.But it will influence the H shares prices with negative effect after H shares return ,because the price have to adjust to the . regular price.2. H shares `s return inforce the interaction between H-shares and A-shares.After H shares return,H shares lead the Two market`s price discovery status.The research connect the H shares return event and A,H shares`s price effect,price discovery as pioneer in this paper,which is good to know the integration course batween H shares and A shares.