With the continuous improvement of the market system and market integration, the dynamics of AH stock premium have increasingly become the focus of investors’ attention. Starting from the analytical perspective of the discounted cash flow (DCF) valuation model, using the monthly data of 79 stocks listed in both the A-share and H-share markets over the past 10 years, the empirical results show that: the size of the AH stock premium is affected by the dividend policy of individual stocks, the proportion of institutional ownership, the size of market capitalisation and the beta value, among other factors; after controlling for the main variable factors, the Fama-French five-factor regression coefficient is found to be significant. After controlling for the main variables, the Fama-French five-factor model shows that the AH stock premium factor can negatively and significantly affect the future price of A shares, and further analysis the sensitivity of the impact of the AH stock premium factor in different industries, with energy and commodities being the most important industries. This paper considers the AH share premium as a pricing influence factor, provides evidence and mechanism explanation of its pricing power, and expands the understanding of the pricing mechanism of cross-listed stocks.
