This paper investigates the impact of the Shanghai-Hong Kong Stock Connect (SHHK Stock Connect) on the A-H share price premium and examines whether the policy effect is contingent on market efficiency. Using monthly data for 67 Shanghai-listed A-H dual-listed firms from January 2011 to May 2019, the authors employ a dynamic panel model estimated via two-step system GMM to account for the persistence of the premium and potential endogeneity. Market efficiency is proxied by trading-friction measures derived from daily high-low price ranges. The findings indicate that the implementation of SHHK Stock Connect is associated with an average 18.4% increase in the A-H premium. However, this effect is heterogeneous: the marginal impact of the policy is more pronounced for firms operating in less efficient markets and weaker for those with higher efficiency, suggesting that pre-existing trading frictions shape the policy outcome. No significant response is observed at the announcement stage. Placebo tests and alternative efficiency measures confirm the robustness of the efficiency-dependent effect. Overall, the results underscore the importance of the information environment in shaping the outcomes of financial liberalization.