The impact of Shanghai-Hong Kong Stock Connect policy on A-H share price premium

This paper empirically investigates the A-H share premium puzzle in the perspective of the effect of Shanghai-Hong Kong Stock Connect policy using a panel data of 55 dual listed companies from January 4th, 2013 to December 31st, 2015. After controlling factors measuring company-specific factors, market performance and investor preferences, the empirical results show that the Shanghai-Hong Kong Stock Connect policy can significantly reduce the A-H share premium for the dual-listed companies in Shanghai and Hong Kong markets. Better corporate governance is also found to reduce the A-H share premium. (C) 2016 Elsevier Inc. All rights reserved.