中文摘要：

与以往的信息不对称假说、流动性差异假说和需求差异假说不同，本文研究不同市场系统性风险差异对A＋H股价差的解释能力。我们证明了两个市场系统性风险的差异，即两个经济体的基本面不同，是A＋H股价差的一个重要驱动因素。进而推导出价格差异与经济基本面差异之间的函数关系，并以可观测变量——政府债务收益率作为经济基本面的代表进行间接检验。实证结果显示政府债务收益率第一、二主成分对A＋H股价差的解释能力超过63％，考虑到政府债务收益率对经济基本面的代表性，我们可以断定：经济基本面的差异对A＋H股价差的解释力度会远高于这一水平。

英文摘要：

We analyzed the factors affect A ＋ H price difference from a macro perspective. First, we decomposed return to the discount rate news and the cash flow news, we proved that systematic risk driving A ＋ H price difference. Then, we derive the relationship between A ＋ H price difference and macroeconomic fundamental. Finally, we verify it using term structure of interest rate. The empirical evidence is that the yield curve can illustrate more than 63% of A ＋ H price difference variation. Considering the representation of term structure of interest rate for maeroeconomic fundamental, we can affirm that explanatory ability of systematic risk can highly exceed this figure.