双重上市公司股票价差实证研究.pdfVIP

Abstract Abstract Each country will face the phenomenon of Market Segmentation in stock market． There is also serious market segmentation in stock market of china．功e most obvious performance is that the stock prices of companies which ate boⅡl in the A-share market and in the H．share listed aledifferent．Such differences are long-standing．The initial A share discounts and the current part of the H share premium both reflect the changes in the link between the two markets． China has carried out the share reform since 2005．The reform tries to remake Chinese capital market from the system level．So廿lat A share and H share prices into line can be achieved．In the period of equity split．A share price of Dual Iisted companies iS significantly higher than its H share price．After the share reform．the degree of linkage between Chinese stock market and international market increases． 111e difference between A share pficc and H share price shows a narrowing trend． Financial crisis in 2008 is a huge impact on Chinese and international capital market． n is also an opportunity for the adjustment of the capital market．In this context．stock spreads show a more intense fluctuation and the information included in it are more comprehensive and complex．By analyzing the factors in the process of this section we can better understand协e current A／H stock market rules．and to pave the way of A share and H share prices into line． 111iS Paper will firstly review the theories of domestic and foreign scholars on market Segmentation and difference of share price．To sort out and summarize the factors and mechanism of spread，it will use 35 dual listed companies’data’as study sample to Analyze and compare A／H share price ratio from January 4．2007 to Octoberl，2009．Through the establishment ofpanel data model，we do multi-collinearity test,serial autocorrelation test,heteroscedasticity test on linear equations and then make statistical analysis of the impact factors． The results show that after share ref