| In China,there is a phenomenon that A-H cross-listed companies have price differences in the long run.With the implementation of Shanghai-Hong Kong Stock Connect Program and Shenzhen-Hong Kong Stock Connect Program,the China mainland and Hong Kong capital markets are interconnected.Based on existing researches,this paper investigates the influence of non-institutional factors of market segmentation on price difference of A-H cross-listed stock from the following aspects:information asymmetry,liquidity,demand elasticity and risk difference.Firstly,In this paper,a dynamic CCE model is used to eliminate cross section dependency of panel data systematically.Secondly,we aimed to divide the influential factors of price differences of A-H cross-listed companies into long-term cointegration effect and short-term effect.Thirdly,the short-term effect that affects price difference are refined to enterprise level in order to explore the industry variation that affects the short-term effect of the price difference by PMG-DCCE model.Finailly,the effect of Shanghai-Hong Kong Stock Connect on two capital markets is anayzed by Event Study.The results indicate that there exists an increasing trend of the premium between A-and H-shares.The policy has positive impact on A-share market while has no significant impact on H-share market.In the short term,the premium is greatly influenced by firm size and relative turnover rate,which is consistent with the theory of information asymmetry and Liquidity hypothesis.However,neither market fluctuation nor interest rate impact the price discrepancy of A-H stocks significantly.In the long term,firm size and market fluctuation are cointegrated with the premium of A-H shares,but not for relative turnover rate.There exist some differences of the impacts of firm size and relative turnover rate on the cross-listed stocks premium across sectors.In addition,we provide some policy implications in the paper. |
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