| This article has taken researching scholars of cross-listing issues for references, and combined with the actual situation in the Mainland of China and the Hong Kong stock market, choosing the A shares and H shares with the listing time interval difference of more than three months A+H cross-listed companies from1995to2012as samples, through the establishment of the econometric model for empirical analysis, to conduct an in-depth study of the company stock price changes in the phenomenon of cross-listing information after the announcement of the original market. Analyzing in the effects of price changes in the market factors, company factors and giving some investment advice to investors.The empirical results show that the main factors affecting the original market stock price changes after the announcement of the company cross-listed information are debt asset ratio, revenue growth, the amount of assets, rate of return on common stockholders’equity, cross-listing equity, equity before cross-listing, the order of cross-listing, the original market volume in cross-listing day and other factors. Through a simple least squares estimation model and Heckman correction model results, the original market stock price near company’s cross-listing day for both cross-listing order will rise, while as the stock prices of the companies which first listed in A shares and then cross-listed in H shares rise more, and higher debt asset ratio, higher revenue growth, greater cross-listed equity or greater cross-listed equity proportion of the company’s capital amount, the stock price will be higher, but greater the amount of the company’s assets, greater the share capital amount before cross-listing, higher rate of return on common stockholders’equity, the stock price of the company will be lower.With the continuous development of China’s capital market, A+H cross-listing of this financing will be increasingly favored by all kinds of companies. In this case, the company’s cross-listing information after the publication of the original market stock price changes in the research, to explore a variety of factors that affect the stock price change and contribute to a correct understanding of the equity risk and analysis of stock price changes. Investors can make investment program using that for a reference and help.This article is divided into five parts. The first part is an introduction. That part first describes the background of this article’s topic and explains the significance of the article’s topic, and then a brief description of the research methods used in this article, and how the article is organized. Finally, it states the innovation and inadequacies of the article.The second part is the domestic and international literature review. The parts starting with five major foreign literatures on cross-listing of the issues related to the angle of foreign scholars on the cross-listing or dual listing of the company or the market impact of the research, and then introduce the domestic scholars for cross-listing research. Finally, there is a brief summary.The third part is definitions and company’s characteristics of the cross-listing. The part first cross-listing and dual listing of these two definitions to be described, and then introduce the features of cross-listed companies, respectively, from the cross before and after listing features various financial indicators and market performance of the cross-listing of companies with non-cross-listed companies as well as cross-listing of companies background characteristics are described.The fourth part is the empirical analysis. This part first describes the Probit model and Heckman correction procedure, and then describes the empirical research methods and processes, and finally introduces the principle of selecting data and data processing.The fifth part is the conclusion. This section lists the results of empirical research, and variables as well as the impact of the degree of cross-listing information for stock prices affect. |
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