Research On The Factors Affecting Stock Price Premium Of A Shares And H Shares Dual- Listed Companies

Nowadays facing with the ever-changing economic environment, the listed companies need more capital to meet with opportunities and challenges. In this case, financing through with only one stock market is difficult to meet the needs of the company. Therefore, cross-listing has become a more and more important way to increase financing of listed companies. In China, to some large public companies, especially large state-owned companies, choosing dual-listing in Hong Kong and the mainland markets has become an important way of their multi-channel financing.In theory, according to the law of one price, assets in different capital markets should have the same price, they should have no difference. However, due to some reasons, the capital markets division may lead to discrepancies of one public company’s shares trading price in different capital markets. When China’s first AH cross-listing company listed, the Mainland and Hong Kong stock markets appeared larger spreads, which had an overall performance of the A-share premium to H-shares.Large price premium existed between A shares and H shares when mainland and Hong Kong capital markets have severe segmentation. Now the Shanghai-Hong Kong Stock Connect program has started, but the premium still very large. People believe that even Shanghai-Hong Kong Stock Connect program became mature, the price premium will still exist.This paper analyze the factors of AH shares premium by using theoretical and empirical analysis based on market segmentation theory which refers to the achievements of stock premium of dual-listed company’s shares using AH dual-listed companies’ data as samples. Paper considers the differences in liquidity demand elasticity differences, information asymmetry differences, differences in risk appetite and company-owned industry characteristics as factors that may influence premium. The results show that the elasticity of demand and the information asymmetry factors have a significant impact on the A-share and H-share premium, the investor risk appetite is less significant, industry characteristics have a more significant impact on the premium. Thus the paper put forward some policy recommendations and future research directions.