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Empirical Analysis the Relationship of A Shares and H Shares

Author: FengShaoHui
Tutor: ZhangYuanPing
School: Tianjin University of Finance and Economics
Course: Finance
Keywords: Dual listing The flow of information Market Segmentation Volatility spillovers
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 68
Quote: 0
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Abstract


Global economic integration, the rapid development of context , around the world prices of the securities linkage is increasingly significant , with the continuous development of China's economy , many domestic companies have chosen to be listed on the overseas stock market , which also strengthened China 's stock market and international stock market contact , but due to different levels of financial development , stock market regulatory regulations vary and other factors , cause even if the share price of the same corporate stock linkage between asynchronous study divided the market trend of the stock market performance becomes necessary. China 's stock market is a highly fragmented market , many companies will choose to form H-shares listed on the Hong Kong stock market , and more and more companies will be listed in both places that dual listing ( Dual- listed ) , these companies are in the country development to grow up , but the stock price movements of the stock market performance of first , indicating the presence of the flow of information . Copula theory , the theory of cointegration , Granger causality test method to study the financial crisis in the context of the linkage between the A shares and H shares , because this time the stock market has experienced a spike in the trend , to the highest point of the price The demarcation point bull and bear markets , and the whole time period studied , the linkage between the two stock . Through empirical studies found a strong correlation between the A-share and H-share price index showed the same time and to the trend of the movement , and at the same time the probability of decline is greater than the probability of rising at the same time . Empirical research by both of the two indices and the dual - listed company 's share price , respectively , the flow of information in both performance by the H -share market flows to the A-share market . The results show that by studying both the yield spillovers are vulnerable to the impact of the trend of the H shares , A shares yield fluctuations performance to the contrary is not obvious . The final conclusion obvious linkage between A shares and H shares , and the performance of the flow of information by the H-shares to A shares .

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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