| Due to market segmentation, in the capital market in China there is a special kind of listed companies——they are listed on the market in the mainland, and in the meanwhile cross-listed on other stock market abroad. And in these particular types of listed companies, these that listing on the A-share market and H-shares market in Hong Kong at the same time attract the most attention. Hong Kong, following New York and London, as the world’s third largest financial center, attracts a large number of domestic listed companies in Hong Kong in recent years. Due to the differences of share market in Hong Kong and the mainland, such as the distribution, maturity and effectiveness, the same listed company in the dual-listed shares tend to have certain difference on the price, which is difficult to realize the "theorem of one price". This gap has caused the attention of scholars at home and abroad, the research on this gap has certain theoretical significance and practical significance. This article studies 62 shares of listed companies which issued share in the h-share market first and then cross-listed in A stock market, using the event analysis and empirical analysis of the econometrics method to analyze the AH premium rate of two-market prices.This paper studies the AH premium rate from the following two generous facts.First of all, this paper studies that whether listing A-share influents the size of the premium rate by using the event study method and studying results show that the a-share IPO issuance does not affect AH premium rate. On the other hand, because the stock market of mainland China and Hong Kong have many differences in such aspects as market strength and the cost of financing, and different companies in the a-share listed financing scale is not the same. So these differences caused the a-share IPO premium rate has a significant effect on the secondary market AH shares premium rate.In addition, this paper also studied weather the Shanghai-Hong Kong Stock Connect program produces some certain effect on AH premium rate. Also in this paper, by using event study method to study and analysis on this issue, the empirical results show the Shanghai-Hong Kong Stock Connect program has a significant influence on the secondary market AH shares premium rate. According to the results, this paper infer several possible causes of this effect, including investors expect AH market valuations tend to be balanced, and expected to have a lot of cross market arbitrage product appearance, etc.This article’s main innovations are in the following two aspects. On the one hand, this article views from the source of premium to produce research on whether A-share IPO matters affect AH premium rate. The A-share IPO matters are divided creatively into two aspects of event factors and value factors,which are the influence that the incident of a-share PO caused on yield of H shares and the influence that the premium of the A shares IPO pricing on AH premium rate. On the other hand, from a unique perspective, this article finds that Shanghai-Hong Kong Stock Connect program is closely related to the AH premium rate of secondary stock market, and Shanghai-Hong Kong Stock Connect program has been proved by the empirical result influential to the premium rate and the paper also tells us the size of this influence. This article mainly used event study analysis on influence factors, at the same time combining with empirical research method of econometrics, finally it is concluded as a relatively complete and convincing conclusion. |
PDF Full Text Request