Abstract: Cross-listed stocks, due to the same underlying assets but different price performance, attract a lot of researchers'attention. In this paper, we investigate the “A+H” stocks which cross-list on the Mainland and Hong Kong stock market by compiling their respective composite index on behalf of the price level of the two markets, and employ cointegration test, error correction model and multivariable GARCH model to analyze the price discovery of A-shares and H-shares on multi-level, The results show that: although the price trends of A-shares and H-shares perform quite differently, there is a long-term stable equilibrium between them by which both of them are significantly adjusted. But when they approach to the equilibrium state, H-shares adjust speed is similar to A-shares, but, H-shares possess the leadership of the returns, and as to the volatility spillover, H-shares have a relatively stronger spillover effect than A-shares. All these imply that although both A-shares and H shares play an important role in the price discovery, generally speaking, H-shares are more powerful than A-shares in information transmission and price discovery.

Keyword: A-shares Market; H-shares Market; Cross-listing; Price Discovery