Study On Influencing Factors Of Price Spread Of Land-port Cross-listed Companies

Since the 1980 s,the academia has conducted in-depth research on market segmentation and found that the same asset is not priced exactly the same in different markets.In different markets,market segmentation caused by "hard segmentation" factors such as legal constraints and policy mechanisms and "soft segmentation" subjective factors such as trading preferences,demand differences and investment climate are recognized as important causes of product differential pricing.Under normal circumstances,domestic investors are constrained by various uncertain factors such as foreign ownership.In order to protect the rights and interests of domestic investors,the price of foreign shares is often higher than that of domestic shares.On the contrary,the price of foreign shares in China is always at a discount.In view of the abnormal phenomenon of China’s foreign capital stock pricing,this paper argues that it is mainly caused by three factors: the four factors contained in the traditional market segmentation theory,the mechanism and macro factors to enhance the market segmentation,and the policy factors to weaken the market segmentation.If our country market rolled out QDII policy early or late,short selling mechanism,land harbor connects a system to wait.This paper establishes a multiple regression empirical model,sorts out and summarizes relevant research literature,sorts out relevant factors that may cause the change of premium rate of AH shares,and categorizes them into three categories.To the above three factors affecting domestic a-share premium level the influence mechanism of the detailed analysis and reasoning,and then select the proxy variable of various factors to construct multiple regression model,in order to cross land port shares of listed companies for the model samples,selected in 2006-2018 annual data for further inspection on the impact of various factors on a-share premium level significantly.The empirical results show that the four factors contained in the traditional market segmentation theory have passed the significance test,but the explanatory power of the proxy variables of such factors on the dependent variables is very limited,and the model remains stable after other market variables are added.The test results show that the implementation of margin lending and short selling policies has effectively weakened the market segmentation and narrowed the price difference between the two stocks due to the market segmentation.The implementation of QDII policy cannot effectively weaken the market segmentation degree so as to reduce AH stock price gap.The possible reason is that the investment scale of compliant QDII institutions is too small to change the long-term market segmentation.On the contrary,the opening of the land-port connect policy promoted the increase of the premium rate of AH shares,which may be related to the significant differences in the quota limit,industrial factors and investor structure between the two places.This model also explains the change of premium rate of a-share to A certain extent.Due to the limitations of the model itself,market investor structure,"T+1" and "T+0" mechanism,fluctuation limit and other mechanism factors could not be introduced into the model for regression analysis.Even so,untestable institutional factors in the model may be the key to the a-share premium.Both the differences in investor structure and market mechanism setting are formed over a long period of time and hard to be changed.These historical factors will make it difficult to completely eliminate the long-term market segmentation between the two places.Finally,this paper puts forward three policy Suggestions for accelerating the opening process of China’s financial market,improving the market mechanism,strengthening international competitiveness and promoting the reasonable regression of AH stock price gap.