Analysis And Empirical Study On The Factors Of The Price Difference Between A-share And H-share

Dual listing refers to the behavior of the same listing Corporation listed on two different stock exchanges. There are many reasons why listing Corporation choose dual listing, for example, some companies choose to issue shares in a number of trading markets to raise capital for the purpose of improving the company's overseas reputation or attract foreign investment. But in the market segmentation condition, the same stock often differences exist in the performance in different markets, the price difference is considered to be one of the most important problems in modern asset pricing theory and international financial research, and this phenomenon not only in our country exists but exist in many countries (regions) in the world of the securities market, also received from the governments, enterprises all over the world, and many investors concern, in addition, a large number of scholars for the phenomenon of the "the same shares with different price" of a lot of research.Firstly, this paper starts with the background of China's stock market, and reviews the origin, course, advantages and problems of dual listing. Secondly, through the reference of some famous scholars' works and research results, the factors that affect the price difference of the dual listing Corporation are analyzed in a systematic way. Then, in this paper, A, H two market yield sequence of the stability test, after the validation of the data is stable, we conducted a market segmentation test two market.Second, this paper examines the since 2013 March 1, to 2015 December 25, the mainland and Hong Kong Securities of the actual transactions, selected 11 both in the mainland stock market and in the Hong Kong stock market for dual listing companies as the sample size, through the use of learned relevant knowledge of econometrics combined with statistical software to use panel data analysis method to establish corresponding mathematical model for empirical analysis.Finally, in the conclusions based on the proposed a series for suggestions to prevent a and H share price difference of arbitrage and effective way to reduce the price difference, in order to promote the healthy development of the securities market of our country. Some previous study on differences compared to the stock of the article, the innovation of this paper has three main points.1 research content is novel, this article uses is the latest two years of data, through the latest data to analyze A, H share price differences.2. Using weekly data as sample data, from the point of view of the data, the weekly trade data as the sample data to carry on the research, both effective avoid holidays differences and a stock suspension problems and guarantee the sufficient amount of sample data, the results more accurate.3. Study on the model of innovation, this paper on the basis of the traditional four hypothesis of innovation, this paper on the basis of the traditional four hypothesis into dummy variables, Shanghai and Hong Kong, in order to research through Hong Kong and Shanghai to ease the role of a and H share price. And in the index selection of the market index, this paper innovatively uses the ratio of the CSI 300 and Hongkong's Hang Seng Index as variables rather than the CSI300 and the Hang Seng Index as the two variables.