| In China,both the mainland A-share market and the Hong Kong H-share market are important capital markets.It is not uncommon for the same company to choose to list in both places at the same time.The mainland A-share market and the Hong Kong H-share market are different in many aspects,including the trading system,investment understanding,openness to the outside world,etc.,which has also caused the phenomenon of different prices of stocks of the same company in different securities markets.In order to promote the integration of the mainland securities market and the Hong Kong securities market,the Shanghai-Hong Kong Stock Connect policy was implemented in 2014,which is conducive to reduce the stock price difference between A + H dual-listed companies.However,the stock price differences have not been eliminated or reduced as expected,and the premium rate has not decreased but increased.This article first aims to study whether the market segmentation theory can explain the AH share premium,and then to study the changes in the AH share premium after the implementation of the Shanghai-Hong Kong Stock Connect policy,and explore whether the policy's impact on the AH share premium is promoted or suppressed.Can play a role in reducing market segmentation.On this basis,due to the large differences in the premium rates of various industries,the financial industry is distinguished from the non-financial industry,and comparative experiments are conducted to test the actual effect of the market segmentation theory and the Shanghai-Hong Kong Stock Connect policy.This article selects the transaction data of 67 Shanghai-Hong Kong dual-listed companies from January 2010 to November 2019 as sample panel data.In order to reduce the influence of errors and accidental factors,the time and frequency are selected monthly,and the Shanghai-Hong Kong Stock Connect transaction volume is logarithmic Set as explanatory variables.Control variables include risk preference,supply-demand relationship,information asymmetry,liquidity differences,and market risk factors.The regression test results show that the Shanghai-Hong Kong Stock Connect has a significant positive impact on the AH share premium,that is,theopening of the Shanghai-Hong Kong Stock Connect increases the AH share premium rate,which has a significant positive impact on the financial industry and non-financial industry,but some controls Variables have a significant impact on the non-financial industry,but no significant impact on the financial industry.Finally,based on the empirical analysis of the panel data,combined with the previous theory,the research conclusion of this article is given,that is,the market segmentation theory can explain the AH share premium to a certain extent;the Shanghai-Hong Kong Stock Connect has not eased the AH share premium situation,but has played a positive role.To aggravate the impact.The impact on the financial and non-financial industries is also different.In order to reduce the premium of China's AH shares and launch the Shanghai-Hong Kong Stock Connect,this paper attempts to put forward some suggestions.The main contents include: improving the market operation mechanism,strengthening investor transactions,and improving the regulatory system. |
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