A, H-share Market Surplus A Comparative Study Of The Value Of Information

Under a complicated historical background, Chinese stock market has a very unique segmented market system with A, B and H share co-existing market, on which the study has significant academic value and realistic meaning. Viewing from related literatures in and abroad, most of these researches focus on B-share or H-share discount. Through analysis on dual listed company' s share price reaction to accounting earnings under different accounting standards, we found there are differences in information acquirement, information transfer, and information evaluation between A and H share markets.The result based on test of diurnal data shows: there are differences in information acquirement between A-share and H share, and two market have strong reaction to their own earnings; Accounting earnings have a pre-effect on A-share and H share, but H-share' s pre-effect is earlier than A-share' s, and there is information asymmetry between two stock markets; investors from different markets can distinguish good information from bad information, but still there are irrational investment from information evaluation.Under the expectancy of markets amalgamating, and with the conclusion from theoretical analysis and empirical study, the paper offers three suggestions: First, accounting integration should be reached step by step; Second, information asymmetry and the system of information disclosure should be perfected; Third, investors should be leaded with rational investment. Under the guidance of both government and market, can it enhance the interaction between A-share and H-share markets.