An Empirical Study On The Influencing Factors Of A-H Share Price Difference

The double listing of A+H is not a rare phenomenon in China.In many double listed companies,the shares of the same company show a certain price difference in different securities markets.The root of the study is the segmentation of the stock market.In November 17,2014 and December 5,2016,Shanghai and Hong Kong and Shenzhen Hong Kong have been formally implemented in order to promote the Hongkong and Shanghai securities market and the capital flow of the Shenzhen securities market.It is unexpected that the price difference between the double listed companies AH has not been eliminated or reduced as expected,but the price difference has increased contrary to the normal reason.The purpose of this paper is to study the impact of Shenzhen Hong Kong's opening on the stock price gap of AH,to explore the effect of the policy on reducing the market segmentation and to test the practical effect of Shenzhen Hong Kong to provide some reference for the implementation of the relevant policies in the future.This paper mainly selects panel data,and makes a significant test on the influence factors of the AH stock price difference through the fixed effect model.The empirical results show that the elasticity of demand,risk preference and H-share market have strong explanatory power to the difference of AH's stock price,and at the same time negate the liquidity difference,information asymmetry and the A share market.The influence of the potential.Finally,according to the previous theory and the results of the empirical analysis,we draw the conclusions of this paper,summarize the shortcomings of the research,and put forward some reference for reducing the stock price difference of AH,Shanghai and Hong Kong and Shenzhen Hong Kong.This article has some theoretical and practical significance.In theory,it provides some support for the test and renewal of AH's stock price difference related theory.In practice,the dual listed companies,securities traders and relevant management institutions can better grasp the relevant policy implementation situation and adjust their investment decision making lines accordingly.In order to promote the smooth and healthy operation of the capital market,it has certain practical significance.