Empirical Resarch On Price Discrepance Whose Stock Is Issued In Both A-share And H-share Market In New Stituation Of China

The price discrepance between A-share and H-share has existed for a long time, different from foreign countries, domestic captial stocks (A shares) always keep some premium to foreign captial stocks (B shares and H shares) in our contry. Domestic and foreign scholars try to find the reasons through different research ways, although the results are not the same, the common influence factors have been found, some typical hypothesises are raised, such as the hypothesis of information asymmetry, the hypothesis of liquidity difference, the hypothesis of demand difference, the hypothesis of risk difference, the hypothesis of system difference,and so on. This article tries to examine how these hypthesises influence the price discrepance between A shares and H shares, in order to achieve this objective, we collect 28 A+H dual-listd companies'dates from 2006 to 2008. why we choose these three years dates? One reason is that these dates are integral, new and easily obtained; the second reason is that it contains the market performance before and after the international financial crisis, A-share market also experienced a integral conversion from bull to bear; the last reason is that some important events happened in these three years in our country, such as the reform of the exchange rate, the reform of shareholder right, the introduction of the new accounting standard for enterprises and the implementation of the QDII, these events all have a significant impact on the price discrepance between A-share and H-share, it is necessary to study it cautiously. This paper choose the circulation of the total market value of the A-share and H-share, the relative turnover of A-share to H-share, the relative variance ratio of A-share to H-share, the relative ratio of the outstanding shares of A-share to H-share, the proportion of non-tradable shares as the proxy variables of information asymmetry, liquidity differences, risk difference, demand difference and system difference, and we suppose the relations between the price discrepance of A-share and H-share and these proxy variables are negative, positive, positive,negative, and positive. and then we establish regression model by panel dates. Through empirical analysis, we find the relative variance ratio of A-share to H-share and the relative turnover of A-share to H-share pass through the significant test, and their signs are in line with the expected signs, which illustrate that the risk difference and the liquidity difference are the main reasons of the price discrepance of A-share and H-share. The total market value of the A-share and H-share and the proportion of non-tradable shares, which are on behalf of the information asymmetry and the system difference, don't pass through the significant test, but their signs are in line with the expected signs; the indicator of the demand difference, which is the relative ratio of the outstanding shares of A-share to H-share don't pass through the significant test, and its sign is contrary to the expectation, which illustrate that the the price discrepances between A-share and H-share don't reduce with the increase of the A shares, demand difference is not fit to explain the phenomenon of the price discrepances between A-share and H-share. On basis of the conclusion, we put forward a series pf targeted recommendations, such as lower the risk of speculation of A shares, enhance the liquitidy of H shares, to reduce the price discrepances between A-share and H-share and promote the integration of China's Securities Market.