Information Transmission Effects between A and H Dual Listing Shares

The current study, taking A and H dual listing shares as the participants, aimed to investigate the effect of China’s opening-up policy on the information transmission among dual listing shares. The results indicated that China’s opening-up policy strengthened the integration of dual listing share and attracted more companies to collect funds via dual listing, making information transmission more frequent. Overall, with policies gradually unfolded, the co-movement between A and H shares grew closer, leading to the consistency in price discovery contribution ratio of A and H dual share markets. On the other hand, regression was employed to analyze factors resulting in the price difference of A and H stocks. The results revealed that information asymmetry was the most significant factor, followed by liquidity and exchange rate.