Theoretical And Empirical Research On Price Discrepance Between A-share And H-share

Due to existence of market segmentation by limitation in foreign capital equity, the phenomena often occur that listed company marks its shares with different prices in different markets respectively. Diffenert from premium in foreign equity which is very common in western countries, China's listed company foreign-capital equities prices are lower than those of domestic-capital and H share lower than A share at large. While the RMB exchange rate is continuously climbing up and equity division almost finishes its reform, it's of great significance to make analysis on market segmentation through H share price discount in reality.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 Mainlang and Hong Kong stock market, selecting 35 companies as the objiect of study, based on the Shareholder Structure Reform basically completed, explore parity between January 4th, 2007 to December 31th, 2008. The positive analysis based on fixed and random effect analysis and summarize the following conclusion: information asymmetry difference,liquidity difference,demand difference,investment theory difference,risk choice degree are the important factors that influence A-share and H-share price discrepance.The primary innovations of this thesis are summarized in the following: one is summing up the key indicators to measure information asymmetry and providing a reasonable explanation on empirical results; the other is using the transaction day-data as of December 31, 2008, the data is new.Under the expectancy of markets amalgamating, according to the conclusions of theoretical analysis and empirical study, the thesis offers some suggestions: strengthening and standardize the information disclosure system; guiding the funds in the Mainland and Hong Kong market; seting up value investment virtue; bring in more investors who have an overall consideration on the financial order and speeding up financial innovation.