An Analysis Of The Influencing Factors Of The A-share And H-share Price Differences In Shenzhen Stock Market In The Context Of The Shenzhen-Hong Kong Stock Connect Program

Cross-listing as a solution of expanding financing channels for listed companies has a long history in the capital market,and the problem of cross listed stock price difference has been widely studied by domestic and foreign scholars.Previous studies have found that information asymmetry,liquidity differences,demand differences,investor differences and other factors have explanatory power to the cross listed stock price difference.Domestic scholars also found that the capital market opening policy also has impact on the cross listed stock price difference.This article uses the price difference between A-shares and H-shares issued by the same listed company as the research object.On the basis of reviewing and summarizing the previous research on the stock price difference in the case of cross listing in China and foreign countries,this paper analyzes the potential influence factors of the AH stock price difference theoretically.Firstly,this paper introduces the discounted pricing model of stock cash flow,in order to analyze the influence mechanism of each factor under this frame.From the theoretical analysis,we can see that the information asymmetry,liquidity difference,supply-demand difference,differences in investor philosophy,risk difference,differences in trading regulations,and the Shenzhen-Hong Kong Stock Connect program all result in some differences of the pricing of A-share and H-share,and result in the different prices of A-share and H-shares.On the basis of fully theoretical analyzing the potential influencing factors,this paper makes an empirical analysis of the influence of the aforementioned factors by means of the basic statistic test and the panel data model.The statistical test on each sample company shows that for most companies,the A-share and H-share price ratio before and after the opening of the Shenzhen-Hong Kong Stock Connect program is significantly different.In order to further explore the effect of various factors on A-share and H-share price difference,this paper uses dynamic panel data model to analyze.The results show that the Shenzhen-Hong Kong Stock Connect program has an effect on reducing the A-share and H-share price difference in the Shenzhen Stock Exchange.The liquidity of H shares,earnings per share,the proportion of tradable shares of A shares is negatively correlated with the A-share and H-share price difference,and the volatility of A shares is positively correlated with the A-share and H-share price difference.According to the theoretical and empirical results,this paper puts forward some policy suggestions to promote the convergence of the A-share and H-share price difference,including lowering the policy threshold,promoting information disclosure of listed companies and enhancing the liquidity of H-share.