Information Revelation Efficiency of Opening Period: An Empirical Study Based on A&H shares

Based on the data of A&H cross-listing firms， this paper compared the efficiency of opening period to reveal overnight information for A shares and H shares using the method of weighted prices contribution. It was found that for both A and H shares， the bigger the company was， the more efficient the opening period was in information revelation. Moreover， opening period was more information efficient for H shares than A shares due to the difference between two markets in market maturity， opening degree， market structure and trading mechanism.