| According to the "one-price law" proposed by Friedman(1953),the same goods have same price in different markets when the trade is completely mobile and the transaction costs are neglected.The phenomenon of "same price and different price" in China’s A-share market and H-share market is obviously a violation of the"one-price law." When the Shanghai-Hong Kong Stock Connect mechanism implemented on November 17,which facilitated the reduction of the AH share premium,the share price difference between the A and H of the dual-listed companies expanded.In order to study the causes of this phenomenon,this paper selects the indicators of Shanghai-Hong Kong Stock Connect virtual variables,demand price elasticity difference,liquidity difference,information asymmetry difference and risk preference difference,and uses the mediation effect model and multiple linear regression model to explore the effect and the mediation of the opening of the Shanghai-Hong Kong Stock Connect mechanism on the share price difference of AH.Through empirical analysis,the paper draws the following conclusions:The difference in risk preference difference,liquidity difference and demand price elasticity,which based on the the rate of return,the ratio of turnover ratio and ratio of the number of shares outstanding,respectively,is the intermediary factor of Shanghai-Hong Kong Stock Connect on the share price difference between A and H of dual listed companies.Furthermore,they play a positive intermediary role.On the other side,the information asymmetry difference represented by the ratio of the market capitalization value is not the mediating factor of the influence of Shanghai-Hong Kong Stock Connect on the stock price difference between the two listed companies.This paper proposes to narrow the price difference between A and H shares of double listed companies by improving the A-H share arbitrage mechanism,mitigating information asymmetry between AH markets,and improving the investor structure. |
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