Research On The Price Difference Between A And H Shares From The Perspective Of Stock Market Segmentation

The segmentation of the stock market shows the phenomenon of “different prices of the same shares”.At present,the division of the stock market in China is mainly reflected in the difference in the prices of A shares and H shares of the same company.The fragmentation of the stock market has damaged the welfare of investors,reduced the operating efficiency of the capital market,and restricted the speed of economic growth.Therefore,reducing or even eliminating the fragmentation of the stock market has great practical significance for advancing the "two-way opening up" of China's financial markets,improving the efficiency of China's financial markets,and playing the role of the capital market in serving the real economy.This study takes the A/H stock price difference as the research object,and starts from exploring the factors that affect the A/H share price difference,and then reveals the reasons that prompted the A-share and H-share market segmentation to take place and discuss how to eliminate the market segmentation between A-shares and H-shares.The innovations of this study are mainly reflected in: First,based on the company's financial index data,empirically examines the relationship between valuation concept A-share and H-share market segmentation;second,The indicators of the classic Chen,Lee,and Rui(2001)model have been improved to study the market segmentation of A-shares and H-shares,based on the microscopic perspective of the company's panel data.Third,on the basis of summarizing and analyzing the relevant stock market segmentation research papers,combing with the actual conditions of China's capital market,this study innovatively proposed and tested some hypotheses that affect the A/H share price difference.Empirical research based on financial indicators shows that the explanation of the company's financial indicators on the price of H-shares is stronger than the explanatory power on the price of A-shares.That is,differences in valuation philosophy have an important impact on the market segmentation of A-shares and H-shares.Using the relevant panel data of 42 A-shares and H-sharesof the same company from the year of between2007 and 2016,the factors affecting the A-share and H-share market segmentation are revealed through the discussion of the influencing factors of A/H share spreads.The empirical results show that: The hypothetical factors that difference of liquidity,demand,risk appetity between,A-shares and H-shares and information asymmetry have strong explanatory powers on the segmentation of the two markets;in the new hypothetical factors proposed in this paper,the investor sentiment and open market operations are expand the difference in price of A/H shares,increasing the degree of market segmentation.The Exchange rate expectations,institutional investor ratios,and the proportion of stocks held by individual stocks are conducive to narrowing the difference in price of A/H shares,decreasing the degree of Segmentation between A shares and H shares.In terms of corporate governance indicators,a moderate increase in equity concentration can lead to a narrowing difference in price of the A/H share and weaken the market segmentation.However,if the increase in equity concentration is due to the higher shareholding ratio of the largest shareholder,the market integration of A shares and H shares will become severious.Finally,based on the findings of this study,six aspects were proposed to eliminating the segmentation of A-share and H-share markets: moderately relaxing stock ownership restrictions,strengthening management supervision,advancing the “registration system” and increasing information transparency,providing risk warnings,fostering institutional investors,and optimizing the corporate governance structure.