An Empirical Study Of Shanghai And Hong Kong Through The Price Difference Based On AH

A dual listing Corporation Chinese in A shares and H shares on the market exist the same shares with different price phenomenon, in November 27, 2014 the opening of Shanghai and Hong Kong through policy background, carries on the empirical research of AH share price difference. Through summarizing the research results of domestic and foreign scholars on the dual listing Corporation stock price difference, combined with the difference between the five aspects of China’s A share market and H share market is in the structure of investors,the degree of openness of the market, he market system and trading system, trading tools,such as listing Corporation industry, put forward four main factors that affect China’s A shares and H share price difference: differences in liquidity, risk preference difference, price elasticity of demand and the information asymmetry between the difference, carries on the empirical research.In this paper, through the stock of different premium from the 53 stocks in the condition of selected 10 stocks of the day, collection of data from January 1, 2013 to February 6,2015,selected five representative index from four main factors: the perspective of turnover ratio,rate of return rate, the ratio of circulation the ratio of total equity shares, and the flow of the market value of the ratio, establish a panel data model, using the SPSS V19.0 regression analysis, the empirical results show that, liquidity, price elasticity of demand and the information asymmetry between the difference is caused by China’s AH share price difference,moreover, there is a positive correlation between the liquidity and the asymmetry of information difference with the AH share price difference, price elasticity of demand between the difference of AH share price difference exists negative correlation, negative correlation between risk preference difference and AH share price difference, but the effect is not obvious.Finally, according to the results of empirical research this paper puts forward some suggestions to narrow the price difference AH: building a more perfect market mechanism,perfect for mainland investors to strengthen education, to increase supervision of the mainland market and broaden the investment channels for the mainland stock market.