Research On The Factors Affecting Price Difference Between A-Share And H-Share

In general,there is a clear premium between the A-share's price and the H-share's price of the dual-listed companies,and there is a serious segmentation between the two capital markets.To solve this problem,regulators of Shanghai and HongKong both have launched Shanghai-Hong Kong connection program and Shenzhen-Hong Kong connection program to promote capital flows between the two markets and help investors to invest rationally.This article mainly focuses on the introduction of Shanghai-Hong Kong connection program and whether this policy will effectively ease the market segmentation and narrow the price difference of A-share and H share.It is of great significance to the further opening up of China's capital market.First of all,this article sorts out the literature of previous scholars and summarize the six factors which affect the price difference.This article controls influencing factors of price difference,such as information asymmetry,risk preference,liquidity,demand difference,investor value preference and corporate governance structure,then introduce dummy variables and variables reflecting investor behaviors,which test the policy effect of Shanghai-Hong Kong connection program in these two ways.Then,based on the panel data model,this paper examines the four hypotheses and two factors that affect the price difference,and studies the effect of the policy of Shanghai-Hong Kong connection program.The empirical results show that information asymmetry,risk preference,liquidity,demand difference,investor preference and corporate governance structure all have a strong ability to explain A and H price difference.Whether it is a model whose dummy variable reflects the change of the Shanghai-Hong Kong connection program policy or the variable model which reflects the behavior of the investor after the beginning of the Shanghai and Hong Kong connection program,the empirical tests of models all show that the Shanghai-Hong Kong connection program policy does not effectively alleviate the market segmentation and narrow price difference of A share and H share.Finally,this paper puts forward some policy suggestions based on the empirical results.Such as strengthening government supervision and maintaining market order,speeding up the pace of IPO;improving the corporate governance structure,and further improving the Shanghai and Hong Kong stock market connection and Shenzhen-Hong Kong stock market connection,doing the early implementation of Shanghai-London stock market connection.