Research On The Influencing Factors Of AH Share Price Difference In The Background Of Shenzhen-Hong Kong Stock Connect Program

In order to obtain a wider range of financing channels,many companies choose to list on multiple securities markets.Among them,the Hong Kong stock market has become an important hub connecting domestic and overseas capital markets by virtue of its geographical and institutional advantages.Since Tsingtao Brewery became a prelude to the dual-listing in 1993,a large number of mainland companies have listed in Hong Kong.At the same time,the phenomenon of market segmentation has aroused people's attention.The so-called market segmentation is embodied in the fact that different markets have different pricing conditions for the same company due to different institutional conditions and investor preferences.The existence of market segmentation not only affects the corporate financing,but also reduces the capital utilization rate of investors and seriously hinders the healthy development of Chinese capital market.Since Shanghai-Hong Kong Stock Connect Program started in November 2014 and Shenzhen-Hong Kong Stock Connect Program started in December 2016,the interconnection between the mainland and the Hong Kong stock market has become stronger,and the market segmentation phenomenon has been alleviated to a certain extent.However,the objective existence of the AH share price difference provides challenges to the policy effectiveness.This paper selects the weekly transaction data of 15 dual-listed companies from the start of Shenzhen-Hong Kong Stock Connect Program to the 5th of November 2018,and conducts an empirical research on the operation effect of Shenzhen-Hong Kong Stock Connect Program policy.In the research process,the traditional theoretical factors of market segmentation including information asymmetry,risk preference difference,demand elasticity difference and liquidity difference are considered.The exchange rate,securities margin trading and policy factors are also added to comprehensively explore the influencing factors of the AH share price difference,especially the impact of the Shenzhen-Hong Kong Stock Connect Program policy.The results show that the Shenzhen-Hong Kong Stock Connect Program policy has significant positive impact on the AH share price difference.Specifically,with the expansion of the Shenzhen-Hong Kong Stock Connect Program,the AH share price difference has not decreased and the market segmentation has not been effectively curbed.In this regard,this paper provides possible explanations from the perspectives of investing distribution difference,investor structure difference and market environment difference.In addition,the demand elasticity difference,liquidity difference and securities margin trading factors will also significantly affect the AH share price difference.The information asymmetry and risk preference difference gradually lost the explanatory power of the AH share price difference due to the improvement of the system and the deepening of interconnection.Finally,based on the conclusions,this paper proposes the following policy recommendations on how to strengthen the interconnection between A share market and H share market,eliminate market segmentation,and improve the effectiveness of the policy: relax the restrictions on investment in Hong Kong stocks and reduce the transaction costs of Hong Kong stocks;strengthen investor education and optimize investors structure;accelerate the reform of the mainland market and improve system design;improve the level of opening up and accelerate financial innovation.