A+H上市是指在中國境內註冊的公司，既在上海證券交易所（以下稱“上交所”）或深圳證券交易所（以下稱“深交所”）上市發行A股、同時又在香港聯合交易所（以下稱“聯交所”）上市發行H股的行為。AH股是“A+H上市”公司中的A股和H股的合稱。自從1993年，青島啤酒成為首家在中國內地和香港資本市場交叉上市的國內企業後，內地越來越多企業選擇到內地和香港市場進行交叉上市，截至2018年12月底，在兩地市場完成交叉上市的上市公司已達107家（不含已退市的公司），其中上交所和港交所交叉上市的有87家、深交所和港交所交叉上市的有20家。

同一家公司的A、H兩類股票，理論上應當“同股同權同價”，但實際上可能由於內地和香港兩地資本市場的政策環境、交易制度及投資者結構等不同，交易價格往往有較大差異，並且通常是A股價格高於H股價格，這種現象稱為AH股溢價或AH股價差。Bailey（1994）研究發現A股的股價相對於B股的股價較高，這與在其他國家的情況正好相反，該問題被Fernald和Rogers（2002）稱為“中國股市之謎”，從而也吸引了國內外眾多學者的關注和研究。雖然已有文獻對AH股溢價做了大量的研究，但遺憾的是至今為止無論是學術者和還是業界均沒有提出一個很好的解釋或普遍認可的結論。

本文從宏觀視角和微觀視角兩個層面對AH股價差進行實證分析：首先，從宏觀角度逐一分析波動率指數、貨幣供應量、行業市盈（淨）率及滬港通和深港通（本文統稱陸港通）政策等四個因素與AH股價差的影響關係。陸港通政策是內地一項重要的資本開放舉措，允許中國內地與香港兩個市場的投資者互相購買對方市場指定范圍內的股票，理論上應能縮小AH股價差。陸港通政策的分析包括了陸港通政策的宣佈效應和開通後的資金效應（包括使用額度即資金流量、成交凈買額、總成交額及持股比例等數據）；其次，從微觀角度本文嘗試以制度理論為基礎來解釋股息分紅、淨資產收益率（ROE）和利潤率與AH股價差的影響關係。

本文的主要結論如下：首先，宏觀因素方面：1. 中港波動率指數比例（VIX^CN/VIX^HK）及中美波動率指數比例（VIX^CN/VIX^US）與AH股價差（P^AH）均存在負向關係；2. 中港貨幣供應量之比（M₁^CN/M₁^HK 和 M₂^CN/M₂^HK）及中美貨幣供應量之比（M₀^CN/M₀^US、M₁^CN/M₁^US 和 M₂^CN/M₂^US）與AH股價差存在正向關係；3. 中美市盈率之比（PE^CN/PE^US）及市淨率之比（PB^CN/PB^US）與AH股價差存在正向關係；4. 陸港通政策方面：1）滬港通宣佈（2014年4月10日）後AH股價差顯著減小，即市場預期陸港通開通後兩地互聯互通會減小AH股價差；深港通宣佈（2016年8月16日）後並沒有表現出穩健地減小AH股價差的影響；2）在滬港開通後、深港通開通前，資金流入額（北上、南下、總和）均對AH股價差有顯著的縮小抑制作用；在深港通開通之後，只有北上資金流入額對AH股價差有顯著的縮小作用，而南下資金流入額以及資金流入額總和均沒有顯著影響；3）滬股通與深股通當日成交淨買額（買入成交額-賣出成交額）與AH股價差存在顯著的負相關；4）陸股通持股占自由流通股比例與AH股價差呈負相關、港股通持股占自由流通股比例與AH股價差呈正相關。其次，微觀因素方面：1. 連續分紅比不連續分紅的公司的AH股價差更小，股息率高的公司的AH股價差更小；2. 淨資產收益率及利潤率與AH股價差存在顯著的負相關關係。

本文的主要貢獻如下：1. 波動率指數、貨幣供應量及行業市盈（淨）率三個宏觀因素與AH股價差影響關係的研究填補了以往文獻的空白，是本文的重要創新；2. 將滬港通和深港通結合起來進行長週期（樣本觀測期從滬港通開通后至深港通實施後兩年即2018年12月31日）、全方位的分析，其中以陸港通政策宣佈日前後各一個月的數據來實證分析政策的宣佈效應及資金效應分析中的“持股比例”的實證研究都是本文首次提出的，未找到以往文獻有類似研究；3.本文創新性的用“制度理論”來解釋微觀因素與AH股價差的影響關係，並用“股息率”“淨資產收益率”及“利潤率”作為制度理論中“合法性”的代理變量進行實證研究；同時區分連續分紅和不連續分紅對AH股價差的影響分析，進一步完善了股息與交叉上市股票價差的研究。

A company incorporated in Mainland China can issue and list “A” shares on the Shanghai Stock Exchange (SSE for short) or the Shenzhen Stock Exchange (SZSE for short) and at the same time issue and list “H” shares on the Hong Kong Exchanges and Clearing Limited (HKEX for short). In 1993, Tsingtao Brewery Co., Ltd. became the first domestic company to cross-list in the capital markets of Mainland China and Hong Kong. Thereafter, more and more companies in the Mainland have chosen to cross-list in such a way. As of the end of December 2018, there are 107 companies cross-listed in the two markets, of which 87 are cross-listed on the SSE and the HKEX, and 20 on the SZSE and the HKEX.

The A and H shares of the same company have identical voting rights and cashflow rights, and therefore should have the same price. However, the prices of a company’s A and H shares are quite different. Possible reasons are that the capital markets in the Mainland and Hong Kong are different in policy environments, trading systems, and investor composition. The price of the A-share is usually higher than that of the H share, and this phenomenon is called the AH premium. Bailey (1994) is the first to document such premium, which is the opposite of the findings in other countries. This issue is called the “mystery of the Chinese stock market” by Fernald and Rogers (2002). Therefore, it has attracted the attention and research of many scholars at home and abroad. Although the literature on the AH premium is rather extensive, neither the academia nor the industry has come up with a good explanation so far.

This thesis conducts an empirical analysis of the AH premium from both the macro perspectives and micro perspectives. I first conduct an empirical study on the relationship between the AH premium and macro-economic measures such as the differences between the two markets in terms of stock market volatility index, money supply, industry average price-to-earnings or price-to-book ratios. The thesis also examines the impact of the HK-Shanghai and HK-Shenzhen Stock Connect Programs on the AH premium. The Stock Connect Programs represent a major step towards market liberalization – allowing A(H) share investors to buy H(A) shares. Theoretically, the Stock Connect Programs should reduce the AH premium. An event study is conducted to examine the announcement effect, and a set of regressions to examine the effects of fund flows, net buying, total trading, and percentage of shareholdings.

Second, from the micro (firm-level) perspectives, I apply the institutional theory to explain the relationship between the AH premium and various firm characteristics such as the dividend yield, return on equity (ROE) and profit margin.

The main findings of this thesis are summarized below: 1. The average AH premium is negatively related to the stock market volatility index ratio between mainland China and Hong Kong (𝑉𝐼𝑋^𝐶𝑁/𝑉𝐼𝑋^𝐻𝐾) and between mainland China and the US (𝑉𝐼𝑋^𝐶𝑁/𝑉𝐼𝑋^𝑈𝑆). 2. The average AH premium is positively related to the money supply ratio between mainland China and Hong Kong (𝑀₁^𝐶𝑁/𝑀₁^𝐻𝐾 and 𝑀₂^𝐶𝑁/𝑀₂^𝐻𝐾) and between mainland China and the US (𝑀₀^𝐶𝑁/𝑀₀^𝑈𝑆, 𝑀₁^𝐶𝑁/𝑀₁^𝑈𝑆 and 𝑀₂^𝐶𝑁/𝑀₂^𝑈𝑆). 3. The average AH premium is positively related to the ratio of price-to-earnings ratios between mainland China and the US (𝑃𝐸^𝐶𝑁/P𝐸^𝑈𝑆), and the ratio of price-to-book ratios (𝑃𝐵^𝐶𝑁/P𝐵^𝑈𝑆). 4. AH premiums decrease significantly after the announcement of the Shanghai-HK Stock Connect Program (April 10, 2014), but not after the announcement of the Shenzhen-HK Stock Connect Program (August 16, 2016). 5. AH premiums are significantly mitigated by the fund flows, especially Northbound funds flowing into the A-shares. 6. AH premiums are significantly negatively related to net buy trading (buy trade value - sell trade value). 7. AH premiums are related negatively to the ratio of A shares held by Hong Kong investors and positively to the ratio of H shares held by Mainland investors. 8. AH premiums are smaller for firms that pay dividends continuously, and firms that offer higher dividend yields. 9. AH premiums are smaller for firms with higher return on equity (ROE) and net profit margins.