Factors Affecting Price Differences Of AH Shares In The Context Of Capital Market Opening

The phenomenon of cross-listing of domestic and foreign stocks has been widely paid attention.Economists generally believe that the main reason for the price difference is the market segmentation between the two places.Due to the significant differences in liquidity,asymmetric information,demand elasticity,and risk appetite among different markets,this difference is generally considered to be the main factor that causes domestic and foreign stocks to discount premiums.The study found that with the continuous opening up of China's capital market,a series of open policies have been introduced,such as:QFII/QDII,margin financing,Shanghai-Shenzhen-Hong Kong Stock Connect,and cancellation of QFII/RQFII investment quota restrictions.The market split between the two places has further improved the phenomenon of "same price at the same share".For this reason,this article mainly studies the factors that affect the price difference of AH stocks in the context of the continuous opening of the capital market,and comprehensively considers the traditional four major market segmentation factors,namely,information asymmetry differences,liquidity differences,and demand.Elastic differences and differences in risk appetite.On this basis,macro factors such as the Hong Kong dollar-renminbi exchange rate,micro-factor corporate governance and other aspects have been added to the impact of cross-listed AH stock price differences.As far as possible,comprehensively explore the specific factors of their price differences.Two panel data models were constructed by selecting different sample intervals,company samples,and corresponding control variables,and using mixed regression,individual fixed effects,and two-way fixed correspondence to measure the opening of Shanghai-Hong Kong Stock Connect and the latest cancellation of QFII/The actual effectiveness of policies such as RQFII investment quotas.The empirical results show that the traditional four major market segmentation theoretical factors have a good explanation for the price difference of AH shares.Other factors also have a strong explanation for the price difference of AH shares,but when testing the effectiveness of the implementation of the Shanghai-Hong Kong Stock Connect policy,the contrary conclusion was reached.The implementation of the Shanghai-Hong Kong Stock Connect has exacerbated the price difference of AH.The policy of canceling QFII/RQFII investment quotas has also reduced the AH stock price difference to a certain extent.