Cross The Shares Of Listed Companies Differences Research

Due to restrictions on foreign stocks, and market segmentation factors, the cross-listing of the company’s stock often appear in different markets with shares price. For cross-listed companies in China in the Hong Kong foreign shares or H shares in it’s listed in the mainland A-share discount this particular problem. Therefore, based on domestic and foreign cross-listed stocks, A-share and H share market expand the study of the main factors that influence the price difference from the perspective of the cross-listed company’s share price difference. And the corresponding policy recommendations, in a bid to promote the healthy development of China’s stock market to provide a strong reference.Selecting start from the analysis of the characteristics of the course of development of the A-share and H share market and the price difference put forward the hypothesis of the factors that affect the AH share price difference based on the split share structure reform in the mainland A-shares and Hong Kong H shares listed45sample data from January2007to June2011samples, using a panel data analysis methods to an empirical test of the various factors and application of the Johansen cointegration test and Granger causality test on the A shares and H relevance of the share market to conduct investigations. Through theoretical analysis and empirical test of the monthly transaction data to come to Shanghai and Shenzhen stock markets in the Mainland to Hong Kong stock market to a certain extent in the price discovery function; two places at the same time the investment market information asymmetry, liquidity differences in demand elasticity differences trading location of risk difference, differences in investment philosophy, industry factors as well as major policy implications are an important factor in the differences caused by A, H shares.The emergence of the same stock price "precisely reflects the lack of market liquidity, information disclosure and incomplete problem. In view of this conclusion, the article proposed to strengthen the Mainland market, financial innovation, improve market arbitrage mechanism and strengthening the policy of cross-listed issuers and regulatory cooperation. With the gradual weakening of the market segmentation in the long run, the price of A and H shares will converge, price convergence for the A-share market with international standards as soon as possible to provide effective protection.