The Restudy On The Factors Of The A、H Share Price Spreads

The price between A and H shares of Chinese dual-listed companies has been different for a long time.usually, the A share has price premium over the H share. The existing paper mainly did research from the raditional soft segmentation factors that affecting the price difference.While rensent3years, the spreads has significantly reduced,there has little empirical literature did about this change. What is the main influence factor of this price change? Based on this, the paper will choose the period of this change to do empirical research on the influence factors of the spreads.Based on dynamic panel model and using GMM(generalized method of moments) estimation methods, This paper use monthly data of51Chinese dual-listed companies to do the empirical test about the influencing factor of the spread from the traditional market soft segmentation factor institutional factors and Macro factors. Meanwhile, using dummy variable and shorting explanatory variables, the paper select27Chinese dual-listed companies that permitted to Margin Trading in A share market to test the influence of short selling to the spread through different estimation models. The results showed that:liquidity factor、market risk factor information asymmetry play a important role in interpreting the spread, the demands difference factor is also has Obvious explanation for the spread, but it is the Mainland A-share supply that be more important; Simultaneously, money supply、the RMB expectations of future revaluation and China gradually relaxing capital controls have a strong explanatory power to the spread. Although the A、H share price spread was significantly reduced and can get through the t-test since the Margin Trading was listed, the regression analysis showed that the effects of the short-selling factor for the spread decreasing was not significant, indicating that the function of the short selling in A-share market to the stock price was lost.Based on the results of this study, this paper argues that strengthening of investor education、improving the market arbitrage mechanism and increasing the proportion of institutional investors have a role in narrowing the spread.