Shanghai-Hong Kong Stock Connect Program And Empirical Research On Its Effects On AH Price Spread

With the opening of the Shanghai-Hong Kong Stock Connect program,the mainland market is increasingly intertwined with the Hong Kong market,capital flow is more frequent which improves the opening of the two markets.However,AH price spread of China's dual listed companies has been here for decades.Different from other markets,China's A-share price is higher than the H-share price,that is,domestic shares are at a premium,which is known as "China's stock market mystery."In order to study this phenomenon deeply,this paper first summarizes the research background,research contents and methods,and then summarizes the factors that affect the AH price spread from two aspects which is carried on the literature review.Then we introduce the status quo of the A-share market and the H-share market.Due to the different trading systems between the two market systems,AH price spread exists.Subsequently,the article describes the origin and the transaction profile of the A-share market and the H-share market,.In the next chapter the article begin to conduct empirical analysis.The empirical part uses the monthly transaction data of 86 double listed companies from March 5,2012 to September 30,2016 as the sample data,selects the AH price spread as the explained variable,sets the the Shanghai-Hong Kong Stock Connect program as the dummy variable and explanatory variable,The control variables include information asymmetry,liquidity difference,demand elasticity,risk appetite,system risk for five market factors,as well as the size of the company,the proportion of institutional investors for two corporate factors.Using the stata software to process the panel data,the result shows that Shanghai-Hong Kong Stock Connect has a significant positive impact on the AH price spread.At the same time,when the stock is divided into the SCP shares and non-SCP shares,regression results show that SCP still has a significant positive impact.This is contrary to the expected assumptions,maybe Shanghai-Hong Kong Stock Connect program stimulates the A-share market,resulting in the expansion of AH price spread.Finally,according to the empirical research results of this paper,the corresponding policy recommendations are put forward,including: broaden investment channels and promote the opening of capital market;strengthen information supervision and improve information disclosure system;accelerate financial innovation and enrich financial product categories.