Research On The Influencing Factors Of AH Stock Price Spread Under The Background Of Shanghai-Hong Kong Stock Connect

China began to reform the economic system and develop the securities market in the early 1990 s.In the early days,China's securities market had a small amount of funds and could not meet the needs of corporate financing.At the same time,in order to expand its international business,companies began to seek overseas listing and issued B shares and H shares.Dual-listed companies are companies that issue stock in different markets at the same time.China's companies that issue AB shares and AH shares are all dual-listed companies.The phenomenon of different prices of the same shares in dual-listed companies affects the financing efficiency.the company's intrinsic value is not reflected correctly.The phenomenon reduces the capital utilization rate of investors,and causes a misallocation of resources.Foreign scholars have studied the causes of stock spreads in dual-listed companies and formed a theoretical system based on market segmentation.With the weakening of the significance of B-share foreign exchange earning,the issue of stock price gap of duallisted companies in China is manifested by the premium of A-shares relative to Hshares.The launch of the Shanghai-Hong Kong Stock Connect mechanism has opened up the connection between the mainland and the Hong Kong market.In theory,the price spread between dual listed companies ' stocks will gradually disappear.However,it has been 5 years since the opening of the Shanghai-Hong Kong Stock Connect.The AH stock price difference has not disappeared.On the basis of summarizing the market segmentation theory and domestic research results,this paper selects 8 factors that affect the AH stock price difference,analyzes their respective paths and directions that affect the AH stock price difference,and selects the agent variables for their quantification.The data of 62 Shanghai Stock Exchange AH ??dual-listed stocks from November 17,2014 to January 17,2020 were selected to conduct an empirical study through a panel regression model to verify the relationship between the 8 influencing factors and the AH spread.The empirical process focused on the impact of Shanghai-Hong Kong Stock Connect policy factors to the AH price spread,and analyzed the empirical results.The empirical results show that the Shanghai-Hong Kong Stock Connect policy factors with Shanghai Stock Connect net purchases and Hong Kong Stock Connect net purchases as agency variables have asignificant impact on the AH stock price difference,and at the same time,exchange rate factors and demand elasticity factors have an important impact on the AH stock price difference.Finally,based on empirical results,policy recommendations are made on how to weaken the market segmentation,strengthen the interconnection between the two places,improve the effectiveness of the Shanghai-Hong Kong Stock Connect policy,and narrow the AH share price gap.