The Relation Between A Shares And H Shares

The issue has been so long time that there exists information asymmetry between domestic and foreign investors,which is also controversial until now. As the degree of integration of international capital market is increasing and the link between Mainland and Hong Kong becomes closer,it is significant to study the information diffusion between Chinese A-share and H-share market.In this paper, VAR,Granger causality test and impulse response method are used to test the segmentation between the mainland and Hong Kong markets. By this empirical research, following conclusions was made:1. Equity size was an important reason that A+H shares price difference in different periods.2. Generally speaking, H-share from A-share disturbance to make similar response immediately in A+H shares; A-share from H-share disturbance to make similar response gradually in A+H shares.3. Different stocks A-share and H-share guidance relationship is different, direction different in pulse response, so investors should careful analysis to make decisions.