Analysis Of A-H Share Price Premiums

The consistent overpricing of A-share over H-share remains a matter of interest to many scholars. In this paper, by noticing the consecutive narrowing of price gap since 2008, and after taking into account the stimulus policy in response to 2008 financial crisis, circulation of restricted stocks, short hedge mechanism, among other factors, such as change-hands ratio, trading volume, volatility, this paper also considers the monetary growth ratio, market value of restricted stock with the ban recently lifted, dummy variable of short hedge mechanism, corporate accounting ratios. This paper selected daily trading data and quarterly accounting data of 34 A-H dual-listed companies from 2008 Q1 to 2013 Q1. After conducting co-integration test and Granger test, A-share market is more influential over H-share market. Determined by Hausman test, this paper used fixed effects to build the model of panel data, and the cluster robust standard deviation in response to the problem of auto-correlation.The empirical result has shown that efficient market and investment philosophy, risk premiums, liquidity, macro monetary policy, restricted stock, short mechanism, are factors all significantly affecting the A-H price difference, while information asymmetry factor is not significant. By analysis of the regression results, this paper raised the suggestion of strengthening market supervision, severe punishing illegal violations, enhancing the effectiveness of the financial markets,cultivating reasonable investment philosophy, loosing unnecessary financial regulation and ties, assisting the formation of arbitrage mechanism,and etc.