Research On The Factors Affecting Stock Price Differences Of A Shares And H Shares Cross-listed Companies

Nowadays enterprises’demands for capital cannot be satisfied by a single capital market. Cross-listing has become an important way for financing while the enterprises want to take advantage of both the domestic and international capital markets. In this context, the Chinese mainland enterprises has begun to list overseas for finacing, especially in Hong Kong,due to its unique geographical location and developed capital market environment.The cross-listed companies usually have different stock prices in different capital markets because of the capital market segmentation. In China,the stock price differences between A shares and H shares have been existing from the very beginning.However in segmented capital markets, the existence of stock price differences is reasonable. There is serious market segmentation between the Mainland capital market and Hong Kong capital market,resulting in the price differences between A shares and H shares. The existence of the price differences couldn’t make the value of the company manifested in the market reasonably, and both the academics and regulatory authorities are always concerned about how to eliminate the price differences. It’s necessary to research on the factors affecting the price differences in order to eliminate the differences.This thesis focuses on the stock price differences between A shares and H shares, and hoped to conduct a comprehensive analysis of influence factors based on market segmentation theory. The factors analysed in the thesis include mobility, elasticity of demand, asymmetric information, investors’risk appetite,the split share structure reform and industry, in order to design appropriate alternative variables and put forward the hypothesis, then the thesis establishes the substitution variable,proposes the model assumptions and puts forward the empirical research. The empirical results show that mobility, elasticity of demand and information asymmetry have a significant impact on the stock price differences,which consists with the original assumption; the split share structure reform and investor risk appetite don’t show significance, which violates the original assumption. The thesis also give the explaination for the empirical analysis results. Finally, according to the findings the thesis puts forward some policy recommendations and future research directions.