A-H股投资者情绪对股票收益和价格影响研究

发布时间：2018-06-11 18:14

本文选题：投资者情绪 + A-H股溢价　；参考：《华南理工大学》2012年硕士论文

【摘要】：长期以来，双重上市公司的A股和H股具有相同未来现金流，却具有不同的价格和收益。而且与国外的限制股相对与非限制股存在折价的现象不同，A股相对于H股整体上存在较大幅度的溢价，波动也比较剧烈。国内外已有学者对A、H股价格差异问题产生的原因进行了探讨，然而大部分的研究均局限在传统金融学的领域内。即使触及到行为金融的范畴，也未进行深入研究。同时即使是从行为金融角度来研究股票收益的情绪效应，早期研究多关注于市场情绪对股票收益的总体效应和横截面效应，而且仅仅单独关注中国内地市场或是香港市场，国内还缺乏对A股和H股个股收益的情绪效应的比较研究。本文在解释A、H股价格差异时特别考虑了投资者情绪因素，并且进行了深入的理论分析和实证研究。本文还分别对相同公司的A、H股收益的情绪效应进行了研究对比，提出了导致差异的可能原因。研究表明，A股和H股的收益率均受各自的投资者情绪影响，但H股收益的情绪效应比起A股更大，这与普遍认识相反。导致H股收益的情绪效益更大的可能原因包括：第一，香港市场不设涨跌幅并且没有卖空限制，H股投资者情绪波动导致的收益波动区间可能比A股更大；第二，香港市场与内地市场之前存在信息不对称，H股的估值区间相较于A股更大；第三，由于需求价格弹性的区别，缺乏投资品种的A股投资者相较于H股投资者的风险厌恶更低，因而要求的收益率更低，相应的情绪效应也更低。同时，横截面回归实证结果显示，无论在内地市场还是香港市场，相对于大盘股、高盈利能力、低成长性的股票而言，小盘股、低盈利能力、高成长性的股票的情绪效应都更大，这与早期文献研究结论一致。另外，信息不对称假说、流动性差异假说、风险报酬差异假说、投资者情绪差异假说对A、H股折溢价具有较好的解释能力。可以推测，A股市场的投资者情绪通常高于H股，这是A股相对于H股普遍存在溢价的原因之一。
[Abstract]:For a long time, A shares and H shares of dual listed companies have the same future cash flow, but different prices and returns. Moreover, different from the phenomenon of discount between restricted stocks and non-restricted stocks in foreign countries, A shares have a large premium to H shares as a whole. Some scholars at home and abroad have probed into the causes of the price difference between A and H shares, but most of the studies are confined to the field of traditional finance. Even when it comes to behavioral finance, it has not been studied in depth. At the same time, even if the emotional effects of stock returns are studied from the perspective of behavioral finance, early studies focused on the overall and cross-sectional effects of market sentiment on stock returns, and only focused solely on the mainland China market or the Hong Kong market. There is a lack of comparative research on the emotional effects of A-share and H-share returns in China. This paper takes investors' emotional factors into account when explaining the price difference between A and H shares and makes a deep theoretical analysis and empirical study. This paper also compares the emotional effects of A- and H-share returns of the same companies, and puts forward the possible causes of the differences. The study shows that both A-share and H-share yields are affected by their respective investor sentiment, but the emotional effect of H-share earnings is greater than A-shares, contrary to popular belief. The possible reasons for the greater emotional benefits of H-share returns include: first, the Hong Kong market does not increase or decline and there are no restrictions on short selling. The range of returns volatility caused by the emotional volatility of H-share investors may be larger than that of A-shares; second, Prior to the information asymmetry between the Hong Kong market and the mainland market, the valuation range of H-shares was larger than that of A-shares; third, because of the difference in price elasticity of demand, A-share investors who lacked investment varieties had a lower risk aversion than H-share investors. As a result, the required rate of return is lower, and the corresponding emotional effect is lower. At the same time, cross-sectional regression empirical results show that, whether in the mainland market or the Hong Kong market, compared with large-cap stocks, high-profitability stocks, low-growth stocks, small-cap stocks, low-profitability stocks, High-growth stocks have greater emotional effects, which is consistent with earlier literature. In addition, the information asymmetry hypothesis, the liquidity difference hypothesis, the risk return difference hypothesis, the investor sentiment difference hypothesis have the good explanation ability to the A, H share discount premium. Presumably, investor sentiment in the A-share market is generally higher than in H-shares, which is one of the reasons for the prevailing premium to H shares.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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