我国交叉上市公司股价关系及其影响因素的实证研究

发布时间：2018-02-27 15:13

本文关键词： 交叉上市股价差异市场分割面板模型　出处：《东北财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着20世纪末国际资本市场的形成和发展,资本市场在区域经济活动中扮演的重要角色扩展至全球经济活动。一方面是国际资本进行跨国投资,在全球范围内寻找投资机会；一方面是原有的融资活动突破地域限制,主动寻求国际资金,企业境外上市便是途径之一。随着境外上市条件的成熟,出现了很多企业同时在本地交易所和境外交易所上市的情况,即所谓的交叉上市。我国企业的交叉上市现象最早可追溯至20世纪90年代,以青岛啤酒、广船国际、上海石化等为代表的制造业类国企掀起了境外上市的浪潮。随后这些在港上市的H股企业又开始回归A股在内地上市,形成了所谓的“A+H”交叉上市,甚至是“A+H+N”交叉上市。对于交叉上市公司的研究,学者们最为关注的是“同股不同价”的现象,即同一家公司的股票在不同的市场上价格不同,却享有同样的权利。我国交叉上市公司普遍表现出A股对H股的高溢价,2010年之前,较多公司的A股股·价是H股的5-6倍(甚至还要高),2010年之后溢价幅度降低。相比于国际上比较常见的境外股价高于境内股价的现象,研究我国“A+H”交叉上市公司A股和H股的价格差异具有特殊的意义。同时,随着我国相关政策的放开,对于两地市场上股价差异的研究有着较大的实践意义。首先,有利于企业在赴境外上市前了解境内外市场的差异并进行合理定价顺利融资；其次,促进A股市场上的投资者合理看待境外发行上市的公司回归A股市场,从而进行合理估值和做出合理的投资决策；再者,能够提供一定的政策思路,使A股市场发展更加完善,早日发展成为国际上有影响力的资本市场。本文首先考察AH股溢价指数的历史变化情况,发现近年来AH股溢价指数整体趋于变小,说明AH股偏差过大的情况有所缓解,两地市场上投资者对于同一资产的估值差距在缩小,两个市场之间的分割性在逐渐减弱、联系在逐渐增强。接着对2010年以来AH股差异情况分行业进行了讨论,发现金融保险类“A+H”上市公司整体出现A股相对于H股折价,而且行业内各公司AH股价差异程度比较一致。我们认为,香港市场上的投资者对我国金融保险类的企业普遍看好,加上稳定的业绩和公开透明的信息使得境外市场上的投资者给出相对较高的估值。本文实证分为两个部分：—是考察不同市场中同一公司股票价格之间关系。通过协整检验和Granger因果检验得出,两者之间确实存在长期均衡的关系,且H股相对A股处于领先地位,N股相对H股处于领先地位。二是从市场分割的角度探究影响AH股价差异的因素。选取信息不对称、流动性差异、需求弹性差异、所在市场影响差异等方面因素,采用模板数据模型作分析。同时,作为对比研究,我们也对样本不多的“A+H+N"交叉上市公司的H股和N股价关系和影响其差异的因素做了实证研究。得出的结论是,流动性差异和需求弹性差异对于AH股价差异有一定的解释力,而信息不对称和风险偏好差异难以对AH股价差异进行解释。HN股价差异则主要受上市所在地的影响,风险偏好差异有一定的解释力。最后,针对实证研究的结果,本文认为影响股价差异的根源在于内地市场与香港市场甚至是国际市场之间存在较大程度的软分割,国内缺乏多元化的投资渠道、投资者没有较好的投资理念、市场制度方面也存在着不足之处。为了在市场硬分割逐步解除之后,避免国内市场受到较大的冲击,本文提出当前要加快建设多层次资本市场体系、拓展投资渠道,建立市场之间的互动套利机制,加强我国资本市场制度的建设,改善与国际市场的分割状况。
[Abstract]:With the formation and development of the international capital market at the end of the 20th century , the important role played by the capital market in the regional economic activities is extended to the global economic activity . On the one hand , the international capital carries on the transnational investment , seeks the investment opportunity in the global scope . With the mature of the overseas listing conditions , the cross - listing phenomenon of Chinese enterprises can be traced back to the overseas listing of the overseas listing . For cross - listed companies , scholars pay close attention to the phenomenon of " the same share price " , that is , the shares of the same company are different in price in different markets , but enjoy the same rights . At the same time , with the liberalization of China ' s relevant policies , the price difference between the A + H and H shares of China ' s " A + H " cross - listed company has a special significance . This paper first investigates the historical changes of A H share premium index . It is found that in recent years A H share premium index tends to be smaller , which indicates that the A H share price is too big , the division between the two markets is gradually weakening , and the relationship between the two markets is gradually strengthened . We believe that the investors in the Hong Kong market have generally seen the share of A + H listed company relatively to the H share , and the price difference of each company A H shares in the industry is more consistent . We believe that investors in the Hong Kong market have a relatively high valuation on the investors in the overseas markets . This paper is divided into two parts : the relationship between the stock price of the same company in different markets . Finally , aiming at the result of the empirical research , this paper believes that the root cause of the difference of stock price is that there is a large degree of soft segmentation between the mainland market and the Hong Kong market and even the international market . In order to avoid the great impact on the domestic market after the hard segmentation of the market gradually releases , this paper puts forward that we should speed up the construction of the multi - level capital market system , expand the investment channel , establish the interactive arbitrage mechanism between the markets , strengthen the construction of our capital market system , and improve the segmentation status with the international market .

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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