The Empirical Research Of The Effect Of SH-HK Stock Connect On The AH Share Premium

The AH Share Premium lasts for a long time in our conunrty's stock market.With the opening of SH-HK Stock Connect,the premium level rised,which is not consistent with previous expection and worth pondering.This paper is based on the research of domestic and foregin scholars about the cross-listing premium.Combined with the difference between A-share market and H-share market and the causes of AH Share Premium,this paper proposes some main factors that cause the premium,including the differences in elasticity of demand,liquidity,information asymmetry,risk appetie,behavior of investors and exchange rate system.To find the causes that make the premium level rised,I use empirical method to analysis the differnces of all the factors before and after the opening of SH-HK Stock Connect.This paper selects 44 companies in the stock list of SH-HK Stock Coonect and use the monthly data from Jan.1st,2012 to Mar.1st,20.17.From the perspective of theoretical analysis,this paper builds three panel data models including serverl appropriate agent variables of the fators,such as floating stock ratios,relative turnover,relative exchange rate volatility ratios,the company's total equity,rate of change of amplitude,the forward exchange rate.In the course of case study,the software of Eviews is usesd to deal with the data.One of innovation of this paper is considering the effect of behavioral finance analysis and choosing the rate of change of amplitude as agent variable which are relatively rare in previous studies.The second innovation is to make reasearch about SH-HK Stock Connect which is very important to the development of China's capital market.Currently,the reasearchs about the Stock Connect program are not that much,and most of them are adding dummy variable into the pannel data model.But this paper establishes two models,one is befor-Stock-Connect,the other is afte-Stock-Connect,so that give a dynamic point of view on the SH-HK Stock Connect to analysis the impact of all the factors.The empirical results show that the differences of liquidity,information asymmetry,risk appetie,behavior of investors and exchange rate system are the main factors,but the difference of elasticity of demand doesn't have significant effect.Then based on the two models,the differences of behavior of investors and exchange rate system lead to the rising premium level after the opening of SH-HK Stock Connect;the differences of liquidity is still the fator and the Stock Connect program improve the liquidity of these markets;and the risk conduction is not neglected.In the end,based on the empirical results and the present situation of the stock market,this paper puts forward some suggestions about how to decrease the AH share premium and improve our stock market,such as to improve investment structure and investment idea,to pefect issuing system and widen investiment channels,to relax restrictions prudently and control risk strictly.