Studv Of Influencing Factors Of Price Difference Between A, H Shares

This paper is based on the classic model, combining domestic and foreign literature studies. The purpose of this paper is to study the influencing factors of the price difference of the dual listed companies between the mainland China and Hong Kong. The paper first reviewed the theoretical model and the domestic and foreign existing literature research, and then combined them with the current situation of China. We attribute the down trend of the price gap of the dual listed firms to three kinds of possible influencing factors:four traditional hypotheses, emergence of new hypothesis and influencing factors and the weakening of market segmentation. In this paper, we discussed the problem through the theoretical analysis and empirical research, and constructed three models respectively to test the effectiveness of the three kinds of possible influencing factors.The empirical study in this paper showed that, the four traditional hypotheses can still be used to explain the price difference between the mainland China and Hong Kong. At the same time, some new repressors have emerged to guide the price difference change. It is under the influences of all these factors that the price appears to converge. However, in recent years, the emergency of the QDII, QFII and other speculative channels made little contribution to the reduction of the price difference. One possible explanation is that although the information sharing between the two markets has increased these years, but the scale restriction of QFII QDII limited the formation of an effective arbitrage mechanism. According to the empirical study results, we can do some further analyses of the change of the price difference these years. The conclusion is that the narrowing risk-free rate, the increasing information communication, the change of investment philosophy of mainland investors, the rise of the exchange rate, and the changes of the market indexes in both markets are all important factors causing the price difference to convergence.