The Effects Of Chinese Monetary Policy On Price Difference Of A-H Share

With the development and exacerbation of global economic integration, a large number of enterprises choose to enter the international capital market driven by commercial motives and financial motives, cross-listing has become a major striking phenomenon in the field of international finance. The history of cross-listing in our country is relatively short, domestic enterprises listed in A-share market and H-share market have become the common form of cross listing. In response to the phenomenon of "one stock with many prices", especially dealing with Chinese "A+H" cross-listed companies which domestic shares premiums relative to foreign shares, they simply called A share premiums as a "special case", Western and domestic scholars have conducted so much research both theoretically and empirically, have found a number of reasons. In this paper we set monetary policy event as the starting point, attempt to discuss and analyze the further factors which affect the price difference of shares cross-listed in A-share market and H-share market. Firstly, this paper analyzed the general factors that affect the price difference of A-H share theoretically based on the previous study. Secondly, the paper analyze on Chinese monetary policy conduction of Mainland and Hong Kong’s stock price theoretically and empirically. Thirdly, examining how does the declaration of monetary policy impact the price difference of A-H share by using event study method. The result show that:the changes of money supply which belong to intermediate target of monetary policy has no connection with the changes of stock price in both mainland and Hong Kong. But for monetary policy events, have obvious impact on the price difference of A-H share, no matter it was expansionary or contractionary monetary policy. Finally, the paper proposed research prospects for trend of price difference of A-H share in the future and policy recommendations which based on the paper’s conclusion.