The Information Flow between A and H Share Stock markets

China is opening its secondary markets little by little through many channels. Among all the channels, the most important one is through Hong Kong. A-H stock dual listing, Shanghai-Hong Kong stock exchange connection and Shenzhen-Hong Kong stock exchange connection are boosting the information flow between A-share and H-share stocks. A sentiment indicator is a very useful tool to measure how information from one market impacts the other market. We use this indicator as a delegate to research the information flows between A-share and H-share stocks in order to explore their cause-effect relation. The model illustrates a positive two-way cause-effect relation and some fluctuations for information flow between A-share and H-share stocks, which seem to be caused by market microstructure changes.