Research On The Influencing Factors Of Ah's Stock Price Convergence Under The Background Of Mainland-honghong Stock Connect

According to the law of one price,the A and H shares of China's Cross listed companies have the same risk and the same cash flow,which are essentially the same kind of assets.In the case of no trade barriers,the price of the two should tend to be consistent.In the past,there existed stock trading barriers between China's mainland and Hong Kong capital market due to the influence of legal restrictions,policy systems,transaction costs and other objective factors,which led to the lack of full play in the pricing mechanism of the stock market,so that the A shares and H shares of the same listed company were different.With the gradual opening up of China's capital market,the orderly opening of "Shanghai-HongKong Stock Connect" and"Shenzhen-HongKong Stock Connect" make the barriers to stock exchange between China's mainland and Hong Kong stock market gradually eliminated.In theory,the AH shares of the same listed company should gradually converge.In order to prove the adaptability of the law of one price in China's stock market,we analyzed the convergence of the AH stock priee of cross-listed companies in China before and after the opening of "Shanghai-HongKong Stock Connect,and"Shenzhen-HongKong Stock Connect ",and studied the factors affecting the AH stock price convergence of cross-listed companies in China.Judging whether the"Shanghai-HongKong Stock Connect and "Shenzhen-HongKong Stock Connect"can promote the convergence of the AH stock price on the margin,this article takes the 49 cross-listed companies that arc the subject of "Shanghai-HongKong Stock Connect" and "Shenzhen-HongKong Stock Connect" as the research objects,and takes AH as the research object.The convergence of stock price is the research content.Based on the traditional market segmentation theory and capital asset pricing model as the theoretical basis,the appropriate explanatory variables and explanatory variables are selected,and two methods of research based on transfer model and panel data regression model are used to solve the above problems.Empirical Research.The results show that the information agency variables in the traditional market segmentation theory such as the information asymmetry hypothesis,the liquidity difference hypothesis,and the demand elasticity hypothesis can influence the convergence of the AH stock price;the opening of the"Shanghai-HongKong Stock Connect" and the "Shenzhen-HongKong Stock Cornnect" does not Significantly promoted the convergence of the stock price of AH shares of our cross-listed companies,but the "announcement effect" of"Shenzhen-HongKong Stock Connect" and "the capital flow effect" of"Shanghai-HongKong Stock Connect" and "Shenzhen-HongKong Stock Connect"promoted the convergence of AH stock prices on the margin.In other words,the Mainland-HongKong Stock Connect benefit in the long run,with little impact in the short term.