A-H股市场交叉上市股票价格发现研究
发布时间：2018-12-12 02:06
【摘要】：国际资本市场自1970年开始出现了一个新的投资现象，也就是一家公司在不同的国家分别进行上市融资，并且这一现象有的逐步发展完善的趋势。由于不同国家资本市场的不存在者统一的规范和标准，，因此当一家企业在不同市场投资时，其证券产品的风险与收益也体现出独有的特征。本文的主要研究内容可以分为以下四个方面： 从市场的基本面对这两个股票市场进行整体的概括性对比，主要对比参数包括、基本市场制度、市场投资者的构成、投资行为、上市公司特征等，并在对比分析的基础上总结出了两个市场的差异，以这些差异作为价格差异影响因素的理论假设前提条件。探讨了A股和H股交易制度方面差异，以理论和实证分析方法分别从开盘交易和收盘交易两个方面进行了对比分析，研究了股票价格浮动范围、大宗交易制度、T+1交易制度等因素如何对市场信息和价格波动产生影响。以市场微观理论的发展历史为背景回顾了交叉上市股票价格发现理论模型的演变，并对主流的理论模型进行了对比。对比方法是运用不同的分析模型包括永久/暂时模型、信息份额模型、MIS模型以及Kasa模型，以57家“A-H”交叉上市公司的日数据为计算依据，在充分考虑A股和H股价格关系的基础山对其价格发现能力进行计算。除了研究股票价格发现理论之外，本文还对成交量与价格的关系进行了分析，这是因为成交量对于股票市场而言也是一个重要的参数，对投资者的决策也有着重要的影响。
[Abstract]:Since 1970, a new investment phenomenon has appeared in the international capital market, that is, a company is listed and financed separately in different countries, and this phenomenon has a tendency of gradual development and perfection. Because of the uniform norms and standards of the non-existent capital markets in different countries, when an enterprise invests in different markets, the risks and returns of its securities products also show its unique characteristics. The main contents of this paper can be divided into the following four aspects: from the basic face of the market to these two stock markets for a general comparison, the main contrast parameters include, the basic market system, the composition of market investors, On the basis of comparative analysis, this paper sums up the differences between the two markets, and takes these differences as the theoretical hypotheses of the influencing factors of price differences. This paper discusses the differences between the trading systems of A shares and H shares, makes a comparative analysis from the two aspects of opening trading and closing trading with theoretical and empirical analysis methods, and studies the floating range of stock prices and the bulk trading system. How factors such as T 1 trading system influence market information and price fluctuation. Based on the development history of market micro theory, this paper reviews the evolution of cross-listed stock price discovery theory model, and compares the mainstream theoretical models. The comparative method is to use different analytical models, including permanent / temporary model, information share model, MIS model and Kasa model, based on the daily data of 57 "A-H" cross-listed companies. The price discovery ability of A-share and H-share is calculated on the basis of considering the price relation of A-share and H-share. In addition to studying the theory of stock price discovery, this paper also analyzes the relationship between trading volume and price, which is because volume is also an important parameter for stock market and has an important influence on investors' decision-making.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51
本文编号：2373688
[Abstract]:Since 1970, a new investment phenomenon has appeared in the international capital market, that is, a company is listed and financed separately in different countries, and this phenomenon has a tendency of gradual development and perfection. Because of the uniform norms and standards of the non-existent capital markets in different countries, when an enterprise invests in different markets, the risks and returns of its securities products also show its unique characteristics. The main contents of this paper can be divided into the following four aspects: from the basic face of the market to these two stock markets for a general comparison, the main contrast parameters include, the basic market system, the composition of market investors, On the basis of comparative analysis, this paper sums up the differences between the two markets, and takes these differences as the theoretical hypotheses of the influencing factors of price differences. This paper discusses the differences between the trading systems of A shares and H shares, makes a comparative analysis from the two aspects of opening trading and closing trading with theoretical and empirical analysis methods, and studies the floating range of stock prices and the bulk trading system. How factors such as T 1 trading system influence market information and price fluctuation. Based on the development history of market micro theory, this paper reviews the evolution of cross-listed stock price discovery theory model, and compares the mainstream theoretical models. The comparative method is to use different analytical models, including permanent / temporary model, information share model, MIS model and Kasa model, based on the daily data of 57 "A-H" cross-listed companies. The price discovery ability of A-share and H-share is calculated on the basis of considering the price relation of A-share and H-share. In addition to studying the theory of stock price discovery, this paper also analyzes the relationship between trading volume and price, which is because volume is also an important parameter for stock market and has an important influence on investors' decision-making.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51
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相关期刊论文 前3条
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