A-share And B Share Price Differential Empirical Analysis

The price difference between a and b shares, known as discount, is particular to the Chinese stock market. In the situation that RMB can't be exchanged freely, that the stock markets are segmented and arbitrage is limited strictiy, the price difference between a and b shares exits all the time. Domestic and international scholars have been attention to the price difference for a long time, but they do little empincai study about it. especially domestic scholars. The thesis explores the price difference between a and b shares, considering market segmentation, information asymmetry. liquidity difference, investment theory and exchange rate risk, in order to finding out the influence factors of the price difference between a and b shares.By the use of linear-regression model, the thesis gets following conclusions: Market segmentation, information asymmetry, investment theory are the main reasons that effects the price difference; These reasons become less important after b share is open to the domestic .esidents in 2001. but they still effect the price difference: Investors pay more attention to the stock right structure which consists mere non-circulate stocks: EPS and turn ratio effect rhe price difference when indices are in the up phase, while vola ratio effects the price difference when indices are in the down phase.According to the conclusions of theorerical analysis and empirical study, the thesis conjectures the market amalgamating of a and b shares rationally, and proposes four reasonable amalgamation patterns, then offers two policy suggestions: First, deal well with the problem of market b in development, and improve the systems of market b: Second, make market a more open, establish QDII system and study the CDR. launch pilot project of full circulate, in order to deal with the problem of non-circuiate stocks.