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A, H share price difference between long-standing the discount foreign shares and foreign domestic shares, China has maintained a domestic shares (A shares) long-term premium on foreign shares (H shares and B shares). Scholars study attempts to explain the reason through different methods, although the conclusion is not consistent, but also to identify some common factors, put forward a number of hypotheses, the typical information asymmetry hypothesis, liquidity differences hypothesis needs of different hypothesis, the hypothesis of risk difference institutional differences hypothesis, etc., to collect relevant data of the 2006-2008 year 28 AH shares of dual-listed companies, trying to test the related hypothesis A H share price impact. Chose three years of data, on the one hand to consider these data are relatively complete, innovative and easy to get; the other hand, due to the performance of the two markets before and after the international financial crisis three years across the A shares experienced a complete CBBC conversion, and in these three years, the A-share market experienced a major event in the exchange rate formation mechanism reform of split share structure reform, the implementation of the new corporate accounting standards, and QD Ⅱ introduction succession, these events A, H shares are relatively large the impact, it is necessary to be meticulous research. This article select A, H shares in circulation total market capitalization relative turnover of A shares of H shares, AH shares relative variance ratio, AH share relative to the number of shares in circulation ratio and the proportion of non-tradable shares indicators as information asymmetry, liquidity differences , risk difference, demand differences and institutional differences proxy variables and assumptions were A, H share price difference was negatively correlated positively correlated with positive correlation, negative correlation and positive relationship, and then using panel data regression model was established. Through empirical analysis, it is found that AH shares relative variance ratio and relative turnover indicators passed the test of significance, and consistent with the expected symbol, A, H shares risk differences and liquidity differences caused the main reason for the difference between the A and H share price . Representing asymmetric information flow of the total market capitalization of indicators and on behalf of institutional differences in non-tradable shares proportion of indicators, no significant test but its symbol and the expected line; representing the needs of differences in the relative flow of the number of shares indicators no test of significance, symbols also Contrary to expectations, the sample period, A, H share price difference is not with the A shares relative increase in the number of shares in circulation and reduce the demand differences explain sample period A, H shares price disparity does not apply to. On the basis of this conclusion, a series of specific recommendations to improve the liquidity of the H-shares, A shares of speculative risk by reducing the introduction of innovative financial products and other measures to reduce the spread of the A, H shares, the promotion of China's securities market integration.
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