| With the rapid development of world economy regionalization and integration,there is an intense trend of the global financial integration. In order to enableenterprises to obtain international financing, many emerging countries open up theirsecurities markets and carry on international liberalization of offerings, investment,trading and market structure. But there are a series of obstacles in transactions,resulting with the phenomenon of capital market segmentation, which direct the listedcompanies valuing different prices in the different markets．Since the1990s, with theChina’s rapid economy development and increasing financial investment, manycompanies went to securities markets to raise funds, some of which choose othersecurities market, such as Hong Kong, the United States or Europe. A growing numberof large outstanding companies are listed in the market Hong Kong and Mainland.Thus, the price differential between A and H share market is long-standing problem.Asset pricing theory, utility theory and econometric methods are usually used toverify the traditional market segmentation phenomennon. In this thesis, we useBayesian panel data model to analyze the price differences between dual-listedcompanies in A and H shares. On considering the influence of information asymmetry,liquidity differences, differences in demand, investment philosophy and differencesfactor-tradable share reform. The results show that all the factors except forinformation asymmetry, all other factors influence the price differences between Aand H shares significantly. At the same time, the results of Bayesian panel AR (1)model show the prices of previous day has a very signigicant effect on those ofintraday and means the above five factors have effect too. Some policies arerecommended in the end, such as investorsentry training, products innovation,enhancing the mobility of capital cities and improving the information disclosuresystem. |
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