Analysis Of The Influencing Factors Of The Price Difference Between A-share And H-share Dual Listing

With the globalization and integration of capital flows,more and more domestic companies choose to list on different stock exchanges,so as to gain more favorable capital and core competitiveness in international competition.Since the eighties of the 20th century,economists have conducted research on the differences in the prices of the same asset in different markets,and found that there are legal restrictions and policy systems between different markets.Market objective factors such as transaction cost may lead to different pricing of assets.In addition,subjective factors such as asymmetric information,investor preference,demand difference and other subjective factors are also the important reasons for the price difference of assets in different markets.Research table When domestic investors buy foreign capital shares,they are often restricted by foreign ownership,so foreign stocks are usually priced higher than domestic stocks to balance the interests of domestic investors.With the gradual opening of China's capital market,many listed companies in China not only issue and trade in the mainland A-share market,but also listed on the Hong Kong H-share market in order to obtain greater economic benefits in the market competition.The complexity of the market environment,the dispersion of investment subjects and the diversity of investment background and concept have caused the problems of"same stock and different price",which lead to the different pricing of the stock of the same listed company in different markets.The price of shares is usually higher than that of domestic stocks,but in China,the price of domestic shares is always higher than that of foreign stocks.Not only has the price of A-shares been higher than that of B-shares,but the phenomenon of A-shares' premium over H-shares is more prominent.This paper explores the causes of the stock price difference from three aspects,one is the traditional market segmentation factor,the other is the other factors in the market,the third is the investor factor,the double listed companies are selected as the research object,and the second is the traditional market segmentation factor,the other is other factors in the market,and the other is the investor factor.Select stock related data as proxy variable,set up panel data,use fixed effect model to carry on regression analysis,the research found that information asymmetry,liquidity difference,demand difference,The four traditional market segmentation factors of risk preference difference are still able to explain the A-share premium to a certain extent.Other market factors also have a significant impact on the A-share premium,among which systemic risk and Shenzhen-Hong Kong Stock Connect's impact on the spread are in line with expectations.The stock price difference of Shanghai-Hong Kong Stock Connect did not decrease as expected,and the influence of exchange rate factor on the price spread was not significant.Among the investors,the structure of investors affects the convergence of the premium trend,while the difference of investors' ideas makes the trend of the premium of the shares not converging.Finally,according to the hypothetical expectation and empirical results,the paper puts forward some feasible suggestions.