This paper investigates the effect on A–H premiums of the China Stock Connect, which allows the Mainland to invest in H-shares in Hong Kong (Southbound) and overseas to invest in A-shares in the Mainland (Northbound). It removes barriers to investor trading all crosslisted A- and H-shares but leads to them an enlarged premium. We develop the differential demand hypothesis of Stulz and Wasserfallen (1995) in China and identify the elasticities of Stock Connect relying on the demand asset pricing of Koijen and Yogo (2019). We ffnd that the average elasticity of Northbound (A-shares) is 0.18, and that of Southbound (H-shares) is 0.66, implying that A-H shares have different levels of substitute effect for investors on each side of Stock Connect, leading to the long-term premium. On a univariate basis, they explain 20% of the variation of the A-H premium and remain highly signiffcant when controlling other variables. We also estimate the cross-listed and time-varying elasticities of Stock Connect. They illustrate the strong positive spillover effect of A-H shares and check the robustness of our results.