Dual Listed Company Stock Spread Of Empirical Research

Each country will face the phenomenon of Market Segmentation in stock market. There is also serious market segmentation in stock market of china. The most obvious performance is that the stock prices of companies which are both in the A-share market and in the H-share listed are different. Such differences are long-standing. The initial A share discounts and the current part of the H share premium both reflect the changes in the link between the two markets.China has carried out the share reform since 2005. The reform tries to remake Chinese capital market from the system level. So that A share and H share prices into line can be achieved. In the period of equity split, A share price of Dual listed companies is significantly higher than its H share price. After the share reform, the degree of linkage between Chinese stock market and international market increases. The difference between A share price and H share price shows a narrowing trend. Financial crisis in 2008 is a huge impact on Chinese and international capital market. It is also an opportunity for the adjustment of the capital market. In this context, stock spreads show a more intense fluctuation and the information included in it are more comprehensive and complex. By analyzing the factors in the process of this section we can better understand the current A/H stock market rules, and to pave the way of A share and H share prices into line.This paper will firstly review the theories of domestic and foreign scholars on market Segmentation and difference of share price. To sort out and summarize the factors and mechanism of spread, it will use 35 dual listed companies'data as study sample to Analyze and compare A/H share price ratio from January 4,2007 to Octoberl,2009. Through the establishment of panel data model, we do multi-collinearity test, serial autocorrelation test, heteroscedasticity test on linear equations and then make statistical analysis of the impact factors.The results show that after share reform, in the selected sample period, asymmetric information hypothesis, differences in liquidity hypothesis, price elasticity of demand hypothesis and differences in investment philosophy hypothesis still have some explanatory power on price difference between A shares and H shares. Although some factors have changed, most outcome indicators are consistent with the theoretical hypothesis. On the basis of full study, this paper finally makes appropriate recommendations on anticipation of A share and H share prices into line.