Study On The Correlations Between A And H Shares Market By Using High Frequency Data

The Hong Kong securities market as mainland market effectivelycomplement and support, its importance has been increasing. With many largeand good quality corporations like Agricultural Bank of China listed in HongKong recently, the relationships between A share and H share become thefocus of discussion once again. About the research of market segmentation,previously domestic scholars mostly focused on B share in the market, butcompared with B share market’s functional flaw, H share has more researchsignificance. This article has mainly used the theoretical analysis and theempirical analysis to discusse the trend and reason of H share discount and Awith H share between mutual guidance relations.Through the theoretical study we found information asymmetry, liquidityeffect, demand elasticity difference, exchange rate factor, non-negotiable stockfactor and risk preference are the main reasons of discount of H share. Inaddition, in order to confirm the mutual guidance relationship of A and H share,this paper has selected January,2009-August,2010period’s high frequencytransaction data as the sample, carried on the SVAR to make empiricalresearch. By this empirical research, following conclusions were made: In theA or H share market, the information flows between price and volume hasTwo-way relationship. And between the two markets, the information flowsfrom H to A took the dominant tendency.This phenomenon is due to the listedcompanies’s main concerned and registered place is mainland, and the Ashare market daily opening time is30minutes earlier than H share, H shareinvestors will take A share investors’ investment decesion as reference.Furthermore, along with the institutional construction such as the reform ofnon-negotiable shares, the power of A share market’s pricing mechanism hasgradually increases. A share obtained the Hong Kong investor’s approval.Finally, according to the theoretical analysis and the empirical analysis, itproposes the corresponding policy suggestion such as promoting the CDRsystem to accelerate two place price return, improving the informationasymmetrical situation, changing A share market investor’s investment idea,solving the problem of non-circulation effectively and so on.