Research on the Influencing Factors of AH Share Premium Rate under the Background of Shanghai-Hong Kong Stock Connect

余峰 吉
2018 Finance  
This paper takes A + H cross-listed companies as research samples during the period from 2012 to 2016, and studies the spread of A + H shares of sample companies before and after the establishment of Shanghai-Hong Kong Stock Connect. The analysis of the premium rate of H shares of A shares based on liquidity differences, demand differences, investor structure differences, financing cost differences, exchange rates, market conditions and industry factors. The results show that the opening of
more » ... the opening of Shanghai-Hong Kong Stock Connect has not reduced the premium of H shares of A shares but instead widened the spread of H shares of A shares. Among the factors affecting the premium rate, the effect of market liquidity is significantly positive, the impact of the demand elasticity, financing cost and exchange rate is significantly negative. And the research shows that the premium rate of the financial industry is significantly lower than the non-financial industry. Finally, in view of narrowing the price difference of A shares and accelerating the market integration, this article put forward a number of policy recommendations.
doi:10.12677/fin.2018.81003 fatcat:7m3mryjeovgyplhawqpymeaqwm