| Since the launch of the shanghai-hong kong stock connect and the shenzh en-hong kong stock connect,stock trading between the mainland and Hong Ko ng capital markets has become more convenient and the investment mechanism has been improved,and the interconnection mechanism between the two mark ets is more obvious.However,the problem of "the same share but different pr ice" of A-share and H-share in dual-listed companies has not been solved.Diff erent from foreign capital stock premium in foreign capital market,China prese nts as domestic capital stock premium,which is known as the "mystery of Chi nese stock market".The influence mechanism of shanghai-hong kong stock con nect policy on AH stock price difference will be studied in this paper.In addi tion,by studying the literature of outstanding scholars at home and abroad,six other factors affecting the phenomenon of "different prices for the same share" which can be summarized: information asymmetry,liquidity difference,deman d elasticity,risk preference,company size and investor structure.Study the influence of the shanghai-hong kong stock connect policy to the difference of AH share price,this paper takes 16 AH dual listed company on March 5,2012 to December 28,2018 daily transaction data as sample data,is AH share price difference as the explained variable,the factor of the shanghai-hong kong stock connect policy is set to the virtual form of explanatory variables,four basic theory of marketing: the asymmetric information,the difference of liquidity,demand elasticity,risk appetite;Company factor: the company size and investor structure are set as control variables.Using Stata software to conduct panel data regression,the results showed that the shanghai-hong kong stock connect policy did not have an inhibitory effect on AH stock price difference,which was contrary to the expectation,the possible reason are the shanghai-hong kong stock connect was not opened for A stock for long time,and its stimulative effect on A shares was far greater than that on H shares.Beyond that.Information asymmetry,liquidity difference,company size andinvestor structure in the model also have a certain impact on AH stock price difference.According to the research content and empirical results of this paper,relevant policy Suggestions are put forward,including: to further improve the "shanghai-hong kong stock connect" policy;Constantly innovating financial products;Broaden investment channels in the capital market;Constantly optimize the investor structure;Perfecting the market information disclosure system;To cultivate investors' correct investment ideas;We will strengthen oversight to prevent financial risks. |
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