The traditional approach for investors faced with dual-listed stocks is pair trading, assuming fairly stable movement between the two shares. The fast-changing environment for Hong Kong and Shanghai makes this approach unreliable. Analysts at Macquarie instead picked 87 Hong Kong-listed H shares and 87 Shanghai-listed A shares to test a strategy of holding H shares cheap relative to A shares and selling short the expensive H shares against A shares. The strategy generated a 15 per cent annualised return for H shares and 6 per cent for A shares. In other words, H shares have moved more in favour of closing the premium gap than A shares - and especially so since the Shanghai-Hong Kong stock connect was announced.