An Analysis Of The Price Difference Of A And H Stock Of Dual-listed Banks

Our purpose is to look for the reason why the price differences of A and H stock of dual-listed banks are smaller than the other dual-listed companies by establishing the panel data model and the yield regression model respectively.In this paper,we establish a panel data model of information asymmetry, liquidity,demand and market risk.It turns out that the four variables that previous studies used are not the reason why the price differences of A and H stock of dual-listed banks are smaller than the other dual-listed companies.Although the indicator of liquidity can explains the phenomenon partially,the great difference of the constants term of the panel data model of the bank and the other companies shows that there are influence factor which we need to find out.By establishing yield regression model,we find out that the price volatility of dual-listed banks correlate to the index of A stock market HS300 and the index of H stock market HSI.But the price volatility of the other companies just correlates to the index of A stock market. It has nothing to do with the index of H stock market.So that is why the price differences of A and H stock of dual-listed banks are smaller than the other dual-listed companies.The difference between the industries makes the banks are more vulnerable to be influenced by the H stock market.The lower degree of internationalization of the mainland entity industries and the lack of international brand are both the main reasons of this phenomenon.hi order to solve this problem,first of all,we believe the introduction of the QFⅡ,QDⅡand CDR mechanisms can enhance the market integration,strengthen the linkage of the two markets.And then the hard segmentation will be eliminated gradually.Secondly,the strong linkage between the bank system and the Hong Kong market reminds us to do a great job of risk management to protect the financial system in the background of the financial crisis.At the same time,we should open our domestic market gradually to protect our entity industries.