A-H Share Market Cross-listed Stocks Price Discovery Research

International capital markets since1970, began a new investment phenomenon, is a company in different countries, listing and financing, and this phenomenon is the gradual development of a sound trend. Norms and standards of different countries does not exist a unified capital market, so an investment in different markets, the risks and benefits of its securities products reflect the unique characteristics. The main contents of this article can be divided into the following four areas:From the fundamentals of the market, the two stock markets overall generality contrast, the main contrast parameters include basic market system, the composition of market investors and investment behavior, the characteristics of listed companies, and in the comparative analysis summarized the differences in the two markets, the theoretical assumption that conditions of the impact factors of these differences as the price difference.Differences in A-shares and H shares trading systems, comparative analysis of theoretical and empirical analysis methods, respectively, from the opening transaction and closing transactions, the floating range of the stock price, the block trading system, the T+1how the trading system and other factors have an impact on market information and price volatility.The background to the history of the development of market microstructure theory review the cross-listing stock price found that the theoretical model of evolution, and the mainstream of theoretical models were compared. The comparison method is the use of different analytical model to include the permanent/temporary model, the information share model, MIS model and the model of Kasa, calculated on the basis of daily data for the57"A-H" cross-listed companies, taking full account of the relationship of the price of A shares and H shares the basis of the mountain, its ability to price discovery is calculated.In addition to the stock price discovery theory, the article also on the relationship between volume and price analysis, this is because the volume is also an important parameter for the stock market, investor decision-making also has an important impact.