The Empirical Study Of The Influencing Factors Of The Price Difference Of The "A And H Shares" Cross-listed Enterprises

Under the background of economic and financial globalization, enterprises' overseas activities become more convenient. In order to make the best of both resources and markets from home and abroad, those companies who want to improve their operation and management and enhance their international competitiveness are going into the global capital market to raise the fund for their further development. Thus it occurred that the same companies listed in different stock exchanges around the world.For the cross-listing in our country, listing in "Hong Kong+mainland" has been always the Chinese Enterprise'first choice because of Hong Kong's natural relationship with the mainland in the aspects of economy, geography and culture. So far,63 enterprises have realized the cross listing in Hong Kong and mainland.However, it presented a strange phenomenon in the cross-listing activities whether at home or at abroad-many companies' "twin" stock in different trading markets have different prices, namely," the same company, the different stock price"As early as the 1970s, the foreign scholars have studied the phenomenon that the foreign capital stock premiums the domestic capital stock. They explained it from the theory of International Asset Pricing Model(CAPM) and the market segmentation hypothesis and so on. They also confirmed the proposed theory with the empirical analysis and the test. Along with the gradual development and maturation about the behavioral finance, some scholars also attempted to propose their explanation from the aspect of the behavioral finance. Unfortunately, they haven't built the corresponding econometrics model up to now.Most of the enterprises that have A shares and H shares are the key ones that have important influence on the national economy, they account for a big proportion in the Hong Kong market as for the market value and the volume, they contribute much to mainland and Hong Kong stock market, the price change in A shares and H shares play a role in the stock index. Very obviously, it has the practical significance to study the different prices about A share and H share.This article do the empirical analysis about the factors that influence the premium rate between A share and H share, selecting the independent variables:the market index difference, non-risk interest rate difference, the stock market turnover rate difference, the institutional investor proportion difference, the investor behavior difference, the company's profit ability difference, the company size difference, the profession property difference, non-tradable share proportion difference on the basis of reading a lot of the predecessors'literature.The first chapter is the introduction, including the background, the subject's significance, the research method, the paper structure and the innovation and the drawbacks. The second chapter summarizes the domestic and foreign literature by the foreign and the domestic scholars about the problem of "the same company, the different stock price" from different angles, which can provide some help for our following study about the AH premium rate. The third chapter introduces the development of H share stock market, H-share enterprises'return to the mainland market to list and the statistical description about the AH premium phenomenon. The fourth chapter is the independent variable selection, the econometrics model building and the empirical analysis and the test. The paper concluded in the last part and proposed some suggestions.