The Empirical Study On Cross-listed In A-share After H-share Companies' Stock Price Differences

Cross listing refers to the listing of the same company on two different stock exchanges. Since Tsingtao returned to the A-share market,there is price differences between H-shares ande A-shares.the price differences of stocks not only become important to firms, the government and investors but also be a popular issue of research. Gaining a deeper understanding of the price differences, revealing its trend and finding the factors that cause the price differences are significant to research the asymptotic trend of price differences.There are a total of 163 H-share listed companies in China until December 31, 2010, of which there are 52 companies firstly got listed in H-share and then returning to the A-share market. These 52 companies are important parts of Chinese cross-listed companies. This paper selects 37 companies which are firstly listed in H-share market and then cross-listed in A-share market as a sample, selects January 2,2008 to September 31,2010 as the sample interval, and chooses the EVIEWS6.0 software as a tool. The paper uses fixed effects model of panel data and conducts an empirical test about the influence factors of price differences between the two markets. The empirical results show that cross-listed companies are in the prevalence of the situation that A-share listed companies are at a premium to H-share ones, and the premium rate is in the trend of getting smaller. The information asymmetry hypothesis and liquidity hypothesis have a strong explanatory power on the premium. The Mainland and Hong Kong's market fluctuations and interest rate changes affect the premium rate significantly.This paper is divided into five parts. The first part is the introduction, including topic background,research significance, research status both at home and abroad, research methods and research ideas, etc. The second part analyzes the situation of Chinese cross-listed companies, which includes a review of the cross-listing course, a summarization of its overall characteristics, a descriptive statistical analysis of the premium situation of cross-listed companies between A-share and H-share market, and then a discovery about the general characteristics and the changing trends of the premium situation of cross-listed companies between A-share and H-share market. The third part is theoretical basis analysis of the price differences between A-share and H-share market. The fourth part is empirical testing, which firstly describes the sample selection and data processing, then focuses on the selection of explanatory variables and explained variables and the design of the model, and finally analyzes the empirical test results. The fifth part concludes the main summary of research conclusions and corresponding proposals on the above basis about how to reduce the premium between A-share and H-share market.