Abstract: This paper examines whether the implementation of the stock market interconnection policy reduces the A-H premium by combining the four hypothesis of impact mechanism on the A-H premium. This study conducts quantitative approach and use panel data of 81 companies within Chinese equity markets over the period of two stock interconnect policy (Shanghai-Hong Kong stock connect policy and Shenzhen-Hong Kong stock connect policy). The conclusion shows that the implementation of Shanghai-Hong Kong stock connect policy has significantly increased the A-H premium. The implementation of Shenzhen-Hong Kong stock connect does not have a significant impact on A-H premium.
Keywords: stock market interconnection policy, SH-HKSC, SZ-HKSC, A-H premium