| Cross-listed stock spreads means that "the same shares same rights but different price", which is clearly contrary to "the law of one price" for the field of finance. Many scholars have given different explanations for this phenomenon. There is inter-national asset pricing model (IAPM) based on the assumption of perfect markets and rational people; there are the hard market segmentation and soft market segmentation theory which relaxed perfect market assumption. In addition, there are a few scholars relaxed the assumption of rational people, trying to explain cross-listed stocks spread from the point of view of behavioral finance. In this paper, we study the AH stock pri-ce difference phenomenon in China’s stock market. We find a new explanation variab-le to AH share premium-the earnings changes, and give an explanation of the mech-anism from the behavior difference of investors.The article is mainly to solve three problems. The first problem says is the earnin-gs change a reason for the AH price difference fluctuations? By correlation analysis, we found that the correlation coefficient between "the absolute value of earning grow-th minus the mean" and AH share premium is high. At the same time, controlled trials have shown exclude the impact of the control variables, the premium impact amplitu-de of shocked group is larger than the control group. Therefore, we believe that the earnings change is an important factor of the AH share premium. The second question is how much earnings change AH share premium? Based on the existing literature, we summarize eight major factors of AH share premium as control variables of our model. Then we introducing a new factor-earnings changes, constructed a panel data model. The empirical results show that when the earnings growth rate change1percentage, the AH share premium change about0.3percent. The third problem says how the cha-nge of earnings impacts the AH share premium? From the point of view of the cogni-ive processes of behavioral finance, we established the "investors expected behavior differences hypothesis" to explain AH share premium fluctuations.The core idea of this hypothesis is that the investors in A stock market and H stock market have differ-ent expectations when they use historical earnings data to predict future earnings growth, which resulting in AH share premium fluctuations.The findings of this paper have many guiding significance. Firstly, investors can arbitrage trading between A-shares and H-shares according to the regular pattern between earnings changes and AH share premium. Secondly, because the differences in investor behavior is an important reason for the AH price difference, we can introduce more foreign investors, such as to increase the QFII quota, to improve the two market investors "integration" which can narrow down the magnitude of the AH share price difference. |
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