| Cross-listings, also known as cross-border listings, indicate that a company is listed on the stock exchange in two places or more than two at the same time. With the advancement of economic globalization, the relationship of world economy gets more and more closely. Because of closely relationship between the mainland capital market and Hong Kong's capital market, there are more and more companies listed crossing A and H shares. Shares that are issued in the domestic market are called as A-shares, and shares on the market in Hong Kong known as H-shares. From January 1993 to May 2015, a total of 88 mainland companies have listed in the A-share market and H-share market. Among these 88 cross listed enterprises, 62 companies have been listed first in the A-share market and then in the H-share market. And there were two corporations released in A-stock market and H-share market at the same time. The rest of the 24 companies were listed on the A-share market firstly and then in the H- shares market. What can be seen from the above statistics is that there are three kinds of A and H cross-listings modes, respectively, H after A mode, A after H mode and A-H synchronous mode. Obviously, H after A mode is the mainstream, which is different from the main cross-listing mode in the international market- listed abroad after domestic listed mode. In recent years, with the boom of A and H cross-listings, many domestic scholars began A and H cross-listings research. Among them, the research about A and H premium problem has always been a hot issue. Many related scholars made various research on A and H premium phenomenon to investigate the causes of its formation and change, including the effect of information asymmetry, liquidity, diversification, the difference of demand elasticity, risk aversion and the exchange rate and other factors. However, there are few studies considering the A and H cross-listings mode into the process of analyzing A and H cross-listing premium problem. This paper tries to study the effect of cross-listings pattern on abnormal stock returns, and then to analyze differences and correlation between the A-share market and H-share market. Moreover, what kind of dual listing model is more advantageous to both the company and the development of the market will be researched.In this paper, panel data of A-shares and H-shares from the 88 cross listed companies in 1993 to 2015 is selected and divided into three groups, respectively, H after A group, A-H synchronous group and A after H group. In this paper, we first use event analysis method to study the abnormal stock returns under different AH cross-listings modes. Then multiple cross-section regression analysis was carried out to discusse the cross-listing impact model of abnormal stock returns and analyzes the factors influencing the abnormal returns.Through the above empirical research, the paper draws the conclusion that cross-listing pattern has significant influence on the cumulative abnormal returns. Although, the A after H mode is the mainstream at present, it will lead to share price significantly positive abnormal.returns. It is not good for domestic investors and enterprises. Due to the listing requirements higher, A and H synchronous model is not common in practice. In line with the international trend, the A after H mode is conducive to protect the interests of investors. But it is not widely used at present as a result of domestic capital market immature and imperfect. We can predict that with the constant improvement and development of China's securities market, the A after H model will be widely used in the future for it is helpful for narrowing the price gap and reasonable evaluation the enterprise's intrinsic value. |
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