"According to the theory of efficient markets, such disparities should be quickly eliminated through arbitrage"
I don't think that is what the Efficient Market Theory (EMT) says, I think that is an assumption about what it means. The EMT simply says that you cannot beat the market by using public information. So whilst the disparity between A and H shares seems irrational, an investor who went long H and short A would not have gained any excess return. The EMT does not say that market prices are "correct", just that public information cannot help you to correctly predict where prices will go in future.
I doubt that one can convert A-shares into H-shares. The rationale is that China imposes restrictions on capital outflows, so converting A shares, which are traded in RMB, into H shares, which are traded in Hong Kong dollars, could potentially create a loophole for circumventing these controls. I don't believe such a mechanism exists. Through my Chinese broker, I have the option to purchase either H or A shares. However, I must make this decision beforehand and, to the best of my knowledge, cannot swap them afterward. Investors outside of China can engage in similar transactions for certain stocks via programs like the Qualified Foreign Institutional Investor (QFII) scheme and the Stock Connect program, which links Hong Kong with mainland China.
It really depends on the occasion, but things can change very quickly. In October 2022, China seemed doomed after Xi's third election, destined to be in lockdown forever. However, just two months later, following the reopening, everything turned around and share prices converged.
"According to the theory of efficient markets, such disparities should be quickly eliminated through arbitrage"
I don't think that is what the Efficient Market Theory (EMT) says, I think that is an assumption about what it means. The EMT simply says that you cannot beat the market by using public information. So whilst the disparity between A and H shares seems irrational, an investor who went long H and short A would not have gained any excess return. The EMT does not say that market prices are "correct", just that public information cannot help you to correctly predict where prices will go in future.
I doubt that one can convert A-shares into H-shares. The rationale is that China imposes restrictions on capital outflows, so converting A shares, which are traded in RMB, into H shares, which are traded in Hong Kong dollars, could potentially create a loophole for circumventing these controls. I don't believe such a mechanism exists. Through my Chinese broker, I have the option to purchase either H or A shares. However, I must make this decision beforehand and, to the best of my knowledge, cannot swap them afterward. Investors outside of China can engage in similar transactions for certain stocks via programs like the Qualified Foreign Institutional Investor (QFII) scheme and the Stock Connect program, which links Hong Kong with mainland China.
It really depends on the occasion, but things can change very quickly. In October 2022, China seemed doomed after Xi's third election, destined to be in lockdown forever. However, just two months later, following the reopening, everything turned around and share prices converged.