Quantitative Study On The Factors Affecting The Price Difference Of AH Twins

Twin stock refers to the same company issued stock trading in the world,but have different trading market and the owner of the same stock market,which has different transaction price is the most important feature of this phenomenon is called the "twin stock price puzzle",it has been a hot topic in academic circles.As of December 2016,the mainland and Hongkong market has 88 "A+H" listed companies,with the " Shanghai-Hong Kong stock connect " opened in November 2014,one after another " Shenzhen-Hong Kong stock connect " in December 2016 has also officially opened.The purpose of this paper is to study the price difference factors of A shares and H shares and the influence of the combination of "Shanghai-Hong Kong stock connect" and " Shenzhen-Hong Kong stock connect " on the capital market.With the rapid development of China's capital market,the capital market in the future more and more important,this paper angle difference of stock market and investment behavior,using dynamic panel data,analyzes the reasons China dual listed AH shares price difference,and from the start of market segmentation,demand elasticity,asymmetric information,liquidity,risk preference difference and market factors of AH twin stock price differences.The results show that the asymmetric information hypothesis,the demand elasticity difference hypothesis,the liquidity difference hypothesis and the risk preference difference have strong explanatory power to the A and H stock price differences.Next,this paper takes the "Shanghai-Hong Kong stock connect and ShenzhenHong Kong stock connect " as a sub point before and after the implementation,and uses Grainger causality test,a phased approach to study the changes in the AH share premium.Results: in Shanghai and approved before the two markets are obviously larger market segmentation,in the Shanghai and Hong Kong through approved,significantly enhanced the AH shares of two flow;Shenzhen-Hong Kong stock connect is established after Shanghai-Hong Kong stock connect through policy,the policy stability and applicability than the former great improve;policy introduced to start during the stock market between the flow of more frequent;At last after the opening policy,the effect of width decreased,indicating that the market is more rational.Furthermore,in the regression model,two dummy variables are added.The two major policies are"Shanghai-Hong Kong stock connect and Shenzhen-Hong Kong stock connect",and a fixed effect model is established.Results: Shanghai-Hong Kong stock connect through policy making A shares H shares of the premium has a positive impact,while the Shenzhen-Hong Kong stock connect through policy making A shares H shares of the premium has a negative impact,and the impact of Shenzhen-Hong Kong stock connect on the A shares H shares of the premium is greater than the Shanghai-Hong Kong stock connect ".On this basis,the author puts forward some policy suggestions with the actual situation of Shanghai and Hong Kong market,and for the improvement of Shanghai-Hong Kong stock connect and Shenzhen-Hong Kong stock connect and provide some reference for investors,as investors guide rational investment,establish arbitrage investment strategy...