The Influence of the Split Share Structure Reform on AH Share Market Information Transmission and Correlativity

Based on the dual listed companies, from the index and individual stock level respectively, using Granger Causality Test and Vector Error Correction Model, this article makes a comparative analysis of the changes in A share and H share equilibrium relations of price diversity and the information transmission relations of A share price and H share price in price formation before and after the share reform in 2008. The results show that the share reform has affected the two markets’segmentation degree. After the share reform, AH share price's interactivity has increased, while H share occupies a dominant position in information transmission and price leading.