The Analysis Of Price Different Factors With Panel Data Between A-share And H-share

The dual-list company has same base information,so the stock has same cash flow and risk exposure,according to"the law of one price",when it trade in different stock market,the stock prices must be consistent.But in actually,the dual-list company in different stock market always shows different price,it is a common phenomenon in national capital market.This paper research the different characteristic of A-share and H-share,and discussed the deep cause of the price difference between A-share and H-share.This paper refers to the research results of foreign and domestic researchers about price discrepance that listed in different stock market,drawing on the method that existed by scholars,selecting45companies as the object of study,explore parity between January2009to June2011.The positive analysis based on Panel-data Mode-1.According to the positive analysis,this paper summarize the following conclusion:(1) Between A-share and H-share,the market segmentation is existing,and this market segmentation phenomenon is weakened or even eliminated,this paper summarize such conclusion caused premium rat gradually decreased during the period.(2) This paper discovers that by clustering with the heterogeneity of the sample test is an effective way,using this way,we can get a high premium rate class and a low premium rate class.(3) The information asymmetry, different liquidity, different demand elasticity and different investment theory are important factors of H-share discount with A-share,but the impact of different investment theory is not significant with the high premium rate class and the low premium rate class in the significant test,this is different with the previous scholars(4) The impact of information asymmetry differences is negative in the low premium rate class,this conclusion is consistent with the previous scholars,however,the impact of information asymmetry differences is positive in the high premium rate class,this conclusion is different with the previous scholars.According to the conclusions, the paper finally mention some policy recommendations such as strengthening information disclosure,speeding the financial innovation,increasing institutional investors,and depressing speculation of A-shore market and so on.