The price difference is caused by the difference in market valuation levels between the two markets. Because the Hong Kong market has many stocks and a small amount of funds, the risk appetite will be relatively low, and the market valuation given to the stocks will be will be relatively low, and stocks will be cheaper overall. However, with a small number of A-share stocks and a large amount of funds, the stock price will be relatively high. And there is a very obvious difference between the two markets: Hong Kong stocks are mainly high-quality blue chips, while A-shares prefer small and medium-sized enterprises.
There is no way to arbitrage, because there is no interoperability mechanism for the stocks of the same company in the two markets. That is, if you buy stocks in the Hong Kong stock market, you cannot exchange them for stocks of the same company in the A-share market.
Of course, there are certain arbitrage opportunities. That is, if a certain stock in the Hong Kong stock market suddenly rises, you can pay attention to the stock in the A-share market to see if there are any opportunities.