The Study On Price Differences Between A Shares And H Shares Under SH-HK Stock Connect

As is known to all, the internationalization of the RMB is one of the important measures to improve China’s international status. In the process of advancing, the territory of China capital market and overseas capital market not only affects the connection between the openness of capital market in China, especially the key factors that determines the RMB can go global.In order to open its capital market, the Chinese government have issued such as qualified domestic investor (QDII), qualified foreign investors (QFII) as well as the recent Shanghai port) system. Although institutional innovation has obtained certain result, but how Chinese capital market is still not mature enough, there are many problems. Such as the difference between A-H shares and determinants of the spread, attracts many scholars attention. Previous studies showed that considering the factors such as information asymmetry, on the basis of market segmentation problem is to form A-H shares one of the important reasons for the poor. However, due to China’s capital market development is not very perfect, and foreign capital market situation, and cannot be directly applied to foreign theory or application to the capital market of our country. How it might apply to China’s combination of A and H share market situation, solve the problem of the difference between A-H shares, especially in the Shanghai port system after implementation, how to develop the related supporting policies to the government policy implementation, solve the problem of poor A-H shares, to enhance the degree of correlation between A and H share market, improve the efficiency of stock market, solve the problem of the division between the two markets, make the RMB in the free circulation between the two markets, to promote the internationalization of the RMB have more practical significance.This article obtains from the traditional segmentation market price theory, combined with the problem of asymmetric information, and between the two market liquidity, demand price and investors investment philosophy, the difference of market environment, the Shanghai port system after implementation, our country the difference between A-H shares and its influencing factors for this paper. Combining structure differences, the difference of investor appetite for risk, investors demand price elasticity differences, differences in the cost of financing, market environment for the influence of A-H share price difference, the empirical results show that the above factors have significant effects on A-H share price difference, and all the variable coefficient of the symbol with expectations, and the fit of the model of the whole is optimal, significant through inspection.The fifth chapter is conclusion and suggestion part, combining the above theory and empirical analysis, it is concluded that the Shanghai port communication system under the influence factors of A-H share price difference, and the poor in order to narrow or even eliminate A-H shares, suggested the Chinese government also what the corresponding supporting policies should be introduced, the main policy recommendations include:launch innovative financial tools to improve the AH arbitrage mechanism; Improve the information asymmetry problem between the two markets; To increase the number of high quality institutional investors; As well as other relevant supporting policies. Finally, summarizes the innovation and deficiency of this article.