The Empirical Research Of The Effect Of SZ-HK Stock Connect On The AH Share Premium

AH premium has been shown to be different from other countries' securities markets.Since the shanghai-hong kong stock connect has even widened the gap,the premium index has started to decline after the opening of SH-HK connect on November 19,2016.This paper studies the change of premium phenomenon.Firstly,the ARIMA model is used to predict and analyze from the macro level,and the conclusion is reached at the macro level through the comparison between the combination of the forecast and the real value.And then on the micro level,after sorting out the literature on this phenomenon,we believe that currently the factors that are significantly affecting AH premium are: demand elasticity difference,liquidity difference,information asymmetry,risk difference and so on.In this article,we will analyze the factors mentioned above through an empirical analysis.Concretely,we obtain a number of transaction data of the companies jointly listed by AH during the time when the Shenzhen-Hong Kong Stock Connect program are launched.After that,we established the virtual policy variable to simulate the policy factor.Then we use regression of the panel model to analyze the AH premium factors.After analyzing the data,we came to the conclusion that,on the macro level,the shenzhen stock connect caused the AH premium index to decline at about 2 points,and on the micro level.hypothesis including demand elasticity hypothesis,liquidity hypothesis,and information asymmetry hypothesis are still effective when applied to the model of price difference of AH.However,the effectiveness of the risk difference is not significant in both AH market.This article gives thorough explanation and provides relatively complete policy suggestions based on all the information mentioned above.