An Empirical Study On The Impact Of Stock Market Interconnection On The AH Stock Price Gap

In recent years,a series of institutional arrangements for the Reform and Opening have been successfully carried out continuously.Some scholars have pointed out that the interconnection policy of Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect has broken the segmentation of the mainland and Hong Kong stock market.Therefore,it is necessary to conduct a new research on the stock price gap between mainland and Hong Kong.A number of previous studies on the price difference of dual-listed stocks mainly focus on the A-share and B-share price differences between domestic and foreign stocks in China's stock market.Some of the studies focus on AH premium before the launching of interconnect market policy.A few studies focus on AH premium after the launching of interconnect market policy but how the Connect affects the AH premium is still unclear.This paper reviews the literature on the mechanism of stock market interconnection on stock price and the price difference of dual-listed stock.By collecting and analysis HSAHP index,an empirical study was conducted using the event study.This study also conducts quantitative approach and use panel data of the companies within Chinese equity markets over the period of two stock interconnect policy(Shanghai-Hong Kong stock connect policy and Shenzhen-Hong Kong stock connect policy).This paper investigates whether the implementation of stock market interconnection policy will affect the premium of AH shares or not.Then,using panel data to establish econometric models for studying the changes of influencing factors of AH price difference among-est the new market environment.The conclusion shows that AH premium is an existing problem in China's dual listed companies.Affected by the stock market interconnection policy,the performance of AH spreads can bring excess returns to investors.That is to say,the policy of stock market interconnection and interconnection cause the AH price difference significantly increased in the short-run.In addition,the opening of SHSC has changed part of the market environment from the perspective of changing the formation factors of AH spreads.Among-est the new stock market environment,the change of some non-systemic factors such as turnover rate,Market Capital Value and individual stock risks have significant impact the AH price difference.While the difference of the circulating shares is no longer affects the AH price difference.The research meaning lies in several aspects.Firstly,the positive impact of the stock market interconnection system on the AH premium is clarified.Secondly,the influencing factors of AH premium under the new market environment are clarified.As the first research on the stock market interconnection system,the research methods and results of this paper can pave the way for the follow-up scholars to study the new process of capital market opening.Also,this paper helps investors understand fully of the arbitrage risk between mainland market and Hong Kong market.This paper provide strategic reference for investment,constructive suggestions for financial management authorities on whether to increase the opening of capital market or not.