| There always has been a phenomenon of 'different prices for the same shares' in cross-listed companies in China.On December 5,2016,the formal implementation of Shenzhen-Hong Kong stock connect marked another big step forward in the integration of capital markets of Shenzhen and Hong Kong.To study the impact of Shenzhen-Hong Kong stock connect on the price difference of A-H shares in China can give theoretical basis for optimizing the resource allocation function of the capital market,provide reference for the decision-making of policy makers and regulators,and make Shenzhen and Hong Kong mutually beneficial and win-win.This paper studies the influence of Shenzhen-Hong Kong stock connect on the price difference of A-H shares in China by combining theory with practice.In the theoretical analysis,this paper innovatively discusses the impact of the trading scale on the stock price difference from the perspective of North-South capital flow.At the same time,when considering other factors,the listing path of the company is introduced into the analysis.In the empirical study,the difference between this paper and other scholars' research is that through taking the total turnover of Shenzhen-Hong Kong stock connect as the threshold variable,based on the data of two years of implementation,the threshold effect model is established to let the data speak and verify whether Shenzhen-Hong Kong stock connect has an impact on the A-H stock price gap.The results show that the implementation of Shenzhen-Hong Kong stock connect can indeed have an impact on the price gap of A-H.When the weekly total turnover is more than 23.2 billion yuan,A-H stock price difference can be reduced more effectively.Further from the perspective of capital flow,it is found that the coefficients of southward capital flow and northward capital flow are both negative,and the coefficients of southward capital flow are larger.It shows that the expansion of southward capital flow can better improve the current A-share premium phenomenon than northward capital flow.It is found that the premium rate for A-shares of companies listed first in Hong Kong market is higher.It verifies the conclusion that there will be an A-share premium phenomenon after the overseas listed companies return to A-share listing in the theoretical analysis.Finally,according to the results,this paper puts forward some policy suggestions to relax the access threshold,shorten the trading cycle,enriching financial investment products,and improving information disclosure supervision. |
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