A股、H股价格差异的理论与实证研究

发布时间：2018-04-24 00:02

本文选题：价格差异 + 聚类分析　；参考：《东北财经大学》2013年硕士论文

【摘要】：对于A股、H股价格差异问题,本文以国外学者与国内学者的研究成果为基础,选取了较为全面完善的解释变量,研究了2010年7月到2012年12月期间,我国50家上市公司的A股、H股价格差异情况。研究价格差异原因之前,首先利用了Granger因果关系证明了A股、H股两个市场分割的存在。价格差异影响因素的探究中,设计了两个模型,一个是多元截面模型,另一个是面板数据的固定效应变系数模型。第一个模型采用了最小二乘法进行回归计算,第二个模型采用了各个截面残差的方差为权重的广义最小二乘法进行回归计算。与此同时,对于数据还进行了聚分类,分为低溢价率与高溢价率两类。在一系列的回归检验与修正的过程后,得到了如下结论： 1.在多元截面回归模型中,无论是低溢价率样本还是高溢价率样本,衡量信息不对称的变量SIZE都与溢价率成负比例关系,并且结果显著；衡量需求弹性差异的变量RS都与溢价率成负比例关系,并且结果显著；衡量投资者理念差异的EPS都与溢价率成负比例关系,并且结果显著。 2.在固定效应的变系数面板数据模型中,衡量信息不对称的变量AIE对于高溢价率样本的影响显著为负,与预期相符,但是对于低溢价率样本的影响不显著,同时方向不明确；衡量流动性差异的变量RL对于低溢价率样本的影响基本显著为负,基本与预期相符。对于高溢价率样本的影响全部显著,且基本为负,基本与预期相符；衡量投资者理念差异的RV虽然对于低溢价率样本的影响显著为负,基本与预期相符,但是对于高溢价率样本的影响基本为负,与预期基本相符,可是同时结果不显著。根据实证结果,本文最后提出了一些建议,如加强信息披露,增强H股流动性,引导A股投资者理性投资,加快金融创新,建立套利机制等。
[Abstract]:On the basis of the research results of foreign scholars and domestic scholars, this paper selects a more comprehensive and perfect explanatory variable on the basis of the research results of foreign scholars and domestic scholars, and studies the A shares of 50 listed companies in China and the difference of H-share prices between July 2010 and December 2012.
Before studying the reason of the price difference, first, we use the Granger causality to prove the existence of A shares and H-share two market segments. In the inquiry of the factors affecting the price difference, two models are designed, one is the multi section model, the other is the fixed effect variable series model of panel data. The first model is carried out by the least square method. In the regression calculation, the second model uses the generalized least square method of the variance of the variance of each section to carry out the regression calculation. At the same time, the data are classified into two categories: low premium rate and high premium rate. After a series of regression tests and amendments, the following conclusions are obtained.
1. in the multiple cross section regression model, both the low premium rate sample and the high premium rate sample, the variable SIZE of information asymmetry is negatively proportional to the premium rate, and the result is significant. The variable RS for measuring the elasticity of demand elasticity is negatively proportional to the premium rate, and the result is significant; the EPS of the investor concept difference is measured. Both are negatively proportional to the premium rate, and the results are significant.
2. in the fixed effect variable coefficient panel data model, the influence of the variable AIE on the high premium rate samples is significantly negative, which is consistent with the expectation, but the impact on the low premium rate samples is not significant and the direction is not clear. The influence of the variable RL on the low premium rate is basically significant Negative and basically consistent with expectations. The impact on high premium rate samples is all significant and basically negative, basically consistent with expectations. Although the impact of investor concept differences on the low premium rate samples is significantly negative, the RV is basically consistent with expectations, but the impact on high premium rate samples is basically negative, but basically consistent with expectations, but At the same time, the results were not significant.
According to the empirical results, some suggestions are put forward at the end of this paper, such as strengthening information disclosure, enhancing the liquidity of H-share, guiding A investors to invest rationally, speeding up financial innovation and establishing arbitrage mechanism.

【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】：F224;F832.51

【参考文献】