Research On The Influence Factor Of A-type Stock Price And H-type Stock Price Based On Market Segmentation

The price segmentation between domestic and overseas capital markets has existed since Chinese capital market followed the policy of reform and opening.When it comes to Chinese AH shares listed companies,the problem of market segmentation is growing more and more prominent,which means different rights of the same shares.According to the law of one price,it is acknowledged that the stock price is determined by its intrinsic value.It could be inferred that the same stock in different security market shares a same price which is its intrinsic value.However,there is a gap between reality and theory.In Chinese AH stock market,A shares in mainland has been over-estimated for a long time.The segmentation of market has a negative effect on the capital allocation function of security market.Furthermore,the segmentation not only narrows the scope of investment but also reduce the efficiency of capital utilization.Ultimately,the segmentation would lead to abnormal prices of shares in the security markets.With Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect gradually carried out,these two instruments gathered mass of attention.In order to further standardize the development of the security market and enhance the interconnection mechanism between mainland China and Hong Kong,depth study of this issue has been given a top priority.First of all,the research background will be illustrated as an introduction.This paper is based on the existing literature reference to the domestic and overseas scholars' theoretical study on the AH stock price phenomenon.AH shares listed companies are used as a sample.57 AH shares listed companies' data are selected to conduct a multivariate analysis.The differences in liquidity,risk preference differences,information asymmetry,demand elasticity differences,exchange rate fluctuations,the Shanghai-Hong Kong stock connection and Hong Kong-Hong stock connection are took into consideration as variables to analyze the influence on the phenomenon of AH market segmentation.At the same time,the behavioral asset pricing model(BAPM)is applied to examine the impact of noise traders on the AH stock earnings respectively and the price segmentation between A-type stock and H-type stock.As a result,the differences in liquidity,information asymmetry and exchange rate fluctuations are the main reasons of price segmentation phenomenon.At the same time,the noise trading risk has significant positive correlation with the price segmentation between A-type stock and H-type stock.The greater the risk of noise trading,the larger price segmentation phenomenon appeared.