The Empirical Research On Influence Factors Of Price Disparity Between A-share And H-share

The Reform of non-tradable share in 2005 was the first revolutionized reform of capital market in china, which has a positive and far-reaching impact on capital market development and institution building. With increasing degree of opening up in finance, capital market in china ultimately will merge with the world, which is the second significant challenge faced capital market in china. Under the background of strict capital control capital market in china, H shares market provides the most direct platform contact international capital market. But because of segmentation in A shares market and H shares market, which led to the price of A share is much different from the price of H share for the same company.The paper selects 32 companies as the object of study and establishes a panel data model. Empirical tests were conducted from the firm characteristics and market environment respectively. The result based on empirical test shows: information asymmetry, liquidity effect, demand elasticity difference,risk choice degree and the Reform of non-tradable share are the influence factors of parity. In addition, via estimating variable of periodic individual and chow test, we can conclude that the reform of non-tradable share will narrow parity between price of A share market and H share market.At last, according to the conclusions of this paper and the reality of securities market, the paper offered four suggestions to dispel the market segmentation between A shares and H shares and how to accomplish internationalization of capital market in china. And then the paper analyzes the pros and cons of QFII and QDII system.