Research On The Influence Of The Exchange Rate Expectations For AH Share Price Different Based On The Theory Of Endogenous Threshold Model

To discuss AH price difference of Chinese double listed companies is a popular issue among scholars. Many scholars did researches from different perspectives. Further explore the influence factors of AH share price difference is of far-reaching significance, on the one hand, it help investors making investment strategy optimization, rational investment; On the other hand, it can enrich the theory of cross listed assets influence factors.Under the circumstances of the appreciation of the RMB, the international capital investment of RMB becomes frequent, however, the RMB is not fully convertible under the capital account, and international capital investment in the mainland market still exist institutional barrier. Hongkong is a free flow of capital market assets, then investment in Hongkong RMB assets become an important way of international capital arbitrage. There were many enterprises dual listing both in the mainland and Hongkong,due to the appreciation of the RMB exchange rate is expected to cause the international capital investment in advance layout which maybe affect two of stock market supply and demand. Therefore, the expectation of the RMB appreciation is an important reason which may also cause the price difference of the AH.Previous scholars in the study of factors which affect the AH price difference relates to the exchange rate expectation is less, I thought the reason is the exchange rate expectations on the AH shares is expected to influence degree and the strength.In addition, the exchange rate may be expected in different interval of AH shares to the price difference is not linear.As a result of the existence of these problems, many research results in this respect is not so good, in this paper, I discuss the a-share and h-share price difference from the perspective of expected changes to the RMB exchange rate factors,and I draw lessons from the research methods of Hansen’s threshold regression model for a-share and h-share price data and the relationship between the exchange rate is expected to do the empirical study.Finally, this paper found that exchange rate expectations does affect AH share price difference; the exchange rate expectations affect AH share price difference is nonlinear; I also found the impact of the exchange rate expectation on the price of H shares is greater than the price of A shares through the further research.