Research On Price Discrepance Whose Stock Is Issued In Both A-share And H-share Market

As the market segmentation of Mainland and Hong Kong stock market,the price discrepance between A-share and H-share which is listed in two places are very big. Foreign and domestic researcher'research about foreign capital shares discount mainly concentrated on the price discrepance between A-share and B-share, research about the price discrepance between A-share and H-share are rarely. Under the background of China's capital market is opening up and the linkage between China's and Hong Kong's stock market is strengthening, in-depth study of price discrepance between A-share and H-share and the causation, is contribute to understand the stock market correctly and analyse the factors that affect price discrepance, learning the pricing strategy of mature stock market, providing theoretical reference for how to improve the operation of the securities market.This thesis refers to the research results of Foreign and domestic researchers about price discrepance that listed in two places, combining the actual situation of Mainland and Hong Kong stock market, selecting 29 companies as the object of study, explore parity between January 4th, 2005 to December 28th, 2007. The positive analysis based on fixed and random effect analysis and summarize the following conclusion: information asymmetry diference,liquidity difference,demand diference,investment theory difference,risk choice degree,reform of shareholder right are the important factors that influence A-share and H-share price discrepance.Because of the institutional receipts that reform of shareholder right benefits the listed companies, reform of shareholder right has a helpful impact to the price difference between A-share and H-share; Because of excess domestic liquidity and less investment channels, demand diference factor has a has a helpful impact the price difference between A-share and H-share, which is different from foreign and domestic researcher'conclusion. ; As the investors'optimistic mood and speculation increased,the price grow faster than fundamentals, theinvestment theory diference'direction of Influence which is measured by EPS departured from Theory.The primary innovations of this thesis are summarized in the following: Studying the main factors that influence price difference beyond the important event of share reform by adding reform of shareholder right factor;Using the transaction day-data as of December 31, 2007, the data is new;Combining the actual situation of Mainland and Hong Kong stock market, explain the reason that why the positive analysis results of demand elasticity difference and decentralized receipts are different from foreign and domestic researcher'conclusion.Under the expectancy of markets amalgamating, according to the conclusions of theoretical analysis and empirical study, the thesis ofers six suggestions:Improving the transparency and intensity of information disclosure system;Building arbitrage mechanism to guide the funds flow in the Mainland and HongKong market;Increasing institutional investors; Depressing speculation of A-Share market;Speeding up financial innovation to increase the supply of financial products; Enhancing the mobility of H-share.