| With the basic completion of shareholder structure reform of china's securities market, A share market has entered the full circulation of the times. At the same time, China's securities market is also trying to integrate with international capital market, Hong Kong's H share market is the undoubtedly best bridge. But for a long time, there has been a phenomenon that shares of listed company with different prices in A-share market and H-share market, the existence of price difference demonstrate that market segmentation is still an indisputable fact. According to the market segmentation theory, information asymmetry, flowability difference, price volatility,difference of value preference and difference of financing cost have important effects on price difference between A-share and H-share. The thesis selects the panel data of companies, though reasonable selection of relevant variables and establishing individual and moment fixed effects model, prove the five factors which led to the price of A-share is much different form the price of H-share for long. However, further investigation shows that market trading system is deep-seated reason which led to the price of A-share is much different form the price of H-share, using event study method and grouping method. Empirical results show that price limits not only have influences on stocks' flowability and volatility when stocks occurred daily limit, but have direct effect of delayed discovery to the stock price, yet the influences when stocks hit bottom is not obvious. Mechanism of short selling also has significant impact on stock's flowability and volatility. It can be concluded that the existence of price difference is reasonable at this stage, but in the long run does not exist. If A-share market and H-share market integration or market segmentation eliminates, the difference will disappear. The construction should start from the trading system in order to eliminate the market segmentation effectively. |
PDF Full Text Request