Empirical Analysis of the Impact Factors of the A Shares and H Shares of the Price Differences

Abstract

Base on the new change of the market, this paper analyze the impact factors of the A shares and H shares of the price differences. Confirm the impact factors of the A shares and H shares of the price differences under the new circumstances. the finally obtained empirical results show that: information asymmetry factors, differences in liquidity factors, risk factors, differences in preferences and so on is still the significant factor of the price differences of A shares and H shares in the new changes of market. In addition, this paper selected dummy variables : the Hong Kong straight train and QDII as the emergence of new factors in 2007, the results show that they have a certain explanatory power on the price differences of A shares and H shares. Finally, some policy recommendations for the elimination of A shares and H shares price difference are proposed..