The Study On The Difference Of Market Reaction On The Announcement Of A+H Cross-Listed Company

With the developing of Chinese capital market in recent years, the cross-listing is increasing in our contry, there are 86 companies are cross-listed in A-share and H-share up to December. While the Shanghai-Hong Kong Stock Connect program came into effect, the Shenzhen-Hong Kong Stock Connect program is near the hand, so that the relationship of stock marked between China mainland and Hong Kong is increasingly close. However, because of the existing of market segmentation, the reaction of the two stock markets is almost different. So it is significant to study on the reaction differences and the related reasons for promoting the international development of Chinese capital market and leading the investment of mainland investors to Hong Kong stock market.The thesis takes BYD, the representative hi-tech private enterprise, as an example to analyze the differences of market reaction on the announcements of company. The thesis separately introduces the development situation of A-share market and H-share market and states the related background of cross-listing in China, then at the basis of the statistics of 364 announcements of BYD after being listed, it has been founded that the two stock markets have differences in the extent of reaction and the preference of reaction. Then the thesis puts forward hypothesizes on the differences, and founded that are the different maturity level of investment concepts and the different preference on speculation are the main reasons for the different reaction, meanwhile, the distinction between the rules of trading time, raising and down limit and the short-mechanism can be assistant to explain the reaction differences. At the last part, the thesis offers several suggestions on the making of related policies. The existing trading mechanism have effectively protected the interests of investors, the reformation should be in a step by step progress. Meanwhile, for the mainland investors, they should get known of the differences of H-share market from A-share Market, and pay more attention into the inner value of companies.