An Empirical Study On The Impact Of Shenzhen-hong Kong Stock Connect On Pricedifferences Between A-share And H-share

China's capital market in the dual-listed companies stock A+H shares "shares with different prices" phenomenon has existed for a long time.The root cause of this phenomenon is the A-share market is more closed,and H-share market was split state.In order to improve the status quo of the two cities market segmentation,deepen the opening process of China's capital market,the two securities regulatory authorities jointly launched the "Shanghai and Hong Kong through" and Shenzhen-Hong Kong."Among them," Shenzhen-Hong Kong " In this context,the purpose of this paper is to study the effect of the "Shenzhen-Hong Kong-Tong" policy,to test the applicability of the traditional market segmentation theory,and to improve the applicability of the traditional market segmentation theory And summed up the impact of AH stock price macro macro factors.This for domestic and foreign investors,the relevant regulatory authorities have practical significance.This paper first combs the domestic and foreign literature on AH stock price difference and the literature on the influence of Shanghai and Hong Kong policy on AH stock price difference.The influencing factors of AH spreads summarized in the literature review mainly include liquidity difference,information asymmetry,demand elasticity difference and risk preference difference.Then it analyzes the opening process of China's capital market and introduces the situation of Shenzhen-Hong Kong-port transactions,and focuses on the theoretical analysis of the impact of Shenzhen-Hong Kong on AH shares.Due to the influence of various macro and micro factors,this paper introduces the dummy variables to express the policy factors of Shenzhen and Hong Kong,and establishes the market model and the investor model respectively from the perspective of macro microscopic price.The Specific Influence of Port-to-City Policy on AH Price Spread and the Factors Influencing AH Price Spread in New Background.The empirical analysis of this paper shows that from the macro point of view,Shenzhen-Hong Kong policy makes AH shares slightly narrowed,which shows that the future in Shenzhen and Hong Kong under the influence of policy,AH stock price difference has narrowed.In addition,the exchange rate is the most important macro factor affecting the AH stock price difference.From a micro perspective,Shenzhen-Hong Kong-Hong Kong policy on the AH price difference has a slight effect.This paper believes that this is due to the opening of the Shenzhen-Hong Kong soon,the two investors are more enthusiastic,especially A-share market speculators more,resulting in a slight expansion of AH shares spread.Through the application of fixed effect model analysis,it is considered that the difference of liquidity,information asymmetry and elasticity of demand elasticity are still the influencing factors of AH stock price under the background of Shenzhen and Hong Kong.Compared with the "Shanghai and Hong Kong through" and "Shenzhen Port",the influence of the above three factors has been weakened.At the same time,this paper argues that the risk preference difference no longer affects the AH stock price difference.