Empirical research on Information Flow between Share A and Share H Based on Price-Discovery Theory

This article tests the information flow between Share A and share H adopting the common actor contribution method, which belongs to the price-discovery theory. We discover that in bear market information flow is lower relative to that in bull market. In bear market, information flow between closing price of share A and share H is largely the same as that of closing price of share H and opening price of share A. While In bull market, information flow between closing price of share A and share H is higher than closing price of share H and opening price of share A.