Research On The Stock Price Disparity Of A-share And H-share Dual-listed Companies

In 1993,Tsingtao Brewery was listed successively on the Hong-Kong Stock Exchange and the Shanghai Stock Exchange,which made it our first A+H dual-listed mainland company.Thereafter,more and more mainland companies have been dual-listing in the A-share market and H-share market.A+H dual-listed.However,due to the market segmentation,the stock price of dual-listing companies of A-share and H-share always varies from different markets.In order to achieve two-way opening of the two markets,the Shanghai-Hong Kong Stock Connect program officially started on November 17,2014.Up to now,the Shanghai-Hong Kong Stock Connect program has been implemented for quite a while.And the academia maintains a long-term concern about the program and waits to see whether it can help ease the A,H shares market segmentation and how it can influence the A-H share price difference.At the same time,with the officially launch of the Shenzhen-Hong Kong Stock Connect program on December 5.2016,the study of he Shanghai-Hong Kong Stock Connect program will be an enlightenment to the Shenzhen-Hong Kong Stock Connect program.This paper selects 32 A+H dual-listed companies whose stocks ever entered the “Daily ten active stocks traded”list during the sample period as the research object.First of all,we conduct a market segmentation test of A-share and H-share through Granger causality test and it can be found that A-share and H-share markets were in segmentation before the Shanghai-Hong Kong Stock Connect program was approved,but with the approval of the Shanghai-Hong Kong Stock Connect program,especially after the official opening of the program,the flow of information between the two markets increased significantly.Based on the market "soft segmentation" theory,we set up corresponding proxy variables for the influence factors of the price difference between A-H shares and carry on panel data regression analysis to test the factors which result in the price difference between A-and H-share of Chinese dual-listing companies and analyze the effect of the Shanghai-Hong Kong Stock Connect program.The empirical results show that: the information asymmetry hypothesis,liquidity hypothesis and demand hypothesis has always been a strong explanatory power to China's A-H share price difference;A-share market yields can lead to further expansion of the premium,while the H-share market yields can lead to a decrease in premium;the approval of the Shanghai-Hong Kong Stock Connect program has produced a significant signal effect which helps the reduction of the price difference between A-H shares,but after the Shanghai-Hong Kong Stock Connect program officially began,the price difference became larger.