An Empirical Research Of Shenzhen And Hong Kong Stock Connect On The AH Stock Price Difference

Dual listing refers to the phenomenon that shares of the same company are listed and traded in two different stock markets at the same time.According to the "one price law",the share prices of dual-listed companies in two markets should be roughly the same after exchange rate adjustment.However,at present,foreign dual-listed companies generally have the phenomenon of different prices of the same share,and China’s A+H dual-listed companies also have the phenomenon of A share premium relative to H share for A long time.An in-depth analysis of the causes of the different prices of the same shares will help to understand the stock market environment,the operation mechanism and dynamic relationship of the two markets.Under the background of the opening of Shenzhen and Hong Kong Stock Connect,it is important to study the impact of Shenzhen and Hong Kong Stock Connect on the stock price difference of AH and China’s A-share market and H-share market,to deepen the promotion of Shenzhen and Hong Kong stock connect,to further repair the price transmission mechanism of China’s stock market,and to speed up the opening of the capital market.This paper uses panel data of A-share and H-share of 16 dual-listed companies in Shenzhen and Hong Kong,uses fixed-effect model to conduct multiple regression analysis,and empirically tests that the opening of Shenzhen and Hong Kong Stock Connect promotes the convergence of AH stock price difference of dual-listed companies in Shenzhen and Hong Kong.This paper divides Shenzhen and Hong Kong Stock Connect’s impact into announcement effect and liquidity effect.Empirical results show that announcement effect and liquidity effect have significant convergence effect on AH stock price difference,but the announcement effect is more significant than liquidity effect.On the basis of this conclusion,we further empirically study which companies have better convergence effect of AH stock price difference after the opening of Shenzhen and Hong Kong Stock Connect.According to the mechanism of Shenzhen Hongkong Stock Connect,investors who pay attention to the basic aspects such as the share of net assets,the value of dividend right and the value of corporate control are more likely to realize arbitrage.Empirical results show that the AH stock price difference of companies with high institutional investors and high PB ratio has better convergence effect after the opening of Shenzhen and Hong Kong Stock Connect.The innovation of this paper lies in the innovation from the perspective of research.From the perspective of investor arbitrage,this paper studies the differential influence of the opening of Shenzhen and Hong kong Stock Connect on A+H dual-listed companies with different characteristics,and breaks down the influence of macro policies to micro companies.