交叉上市公司的股票差异研究

发布时间：2018-03-22 09:28

本文选题：交叉上市　切入点：市场分割　出处：《西北大学》2012年硕士论文　论文类型：学位论文

【摘要】：由于投资人理念、交易结构以及市场分割等因素的影响,交叉上市公司的股票常常在不同上上市地表现出“同股不同价”的现象。而对于中国国内在香港交叉上市的企业来说,还带来了外资股即H股相对其在内地上市A股折价这一特殊的难题。因此,本文基于国内外对交叉上市股票“同股不同价”现象的研究,结合目前A股和H股市场的特征,从交叉上市公司股价差异角度展开研究,提出影响其价格差异的主要因素,并给出相应的政策建议,力图为促进我国股市健康发展提供有力参考。本文从分析A股及H股市场的发展历程以及其价格差异的特征入手,提出影响AH股价格差异的因素假说,同时立足于股权分置改革之后,选取同时在内地A股和香港H股上市的45家公司作为样本,以2007年1月至2011年6月的数据为样本,采用面板数据分析方法对各因素进行实证检验,并且应用Johansen协整检验及格兰杰因果检验对A股和H股市场的关联性进行考察。通过理论分析和月交易数据的实证检验,得出内地沪深股票市场对香港股票市场在价格发现功能上存在一定程度的影响；同时,两地投资市场信息不对称、流动性差异、需求弹性差异、交易所在地风险差异、投资理念差异、行业因素以及重大政策影响都是造成A、H股差异的重要因素。 “同股不同价”现象恰恰反映了市场流动性不足、信息披露不完善等多种问题。鉴于此,文章最后提出加强内地市场金融创新,健全市场套利机制以及强化交叉上市发行及监管合作等政策。随着市场分割的逐步削弱,长期来看,A、H股的价格必将趋于一致,而股价的趋同也为A股市场尽快与国际接轨提供有力的保障。
[Abstract]:Because of the influence of investors' ideas, trading structure and market segmentation, cross-listed companies' shares often show "the same shares at different prices" on different listings. For Chinese cross-listed enterprises in Hong Kong, It also brings about the special problem of discount of foreign capital stocks, that is, H shares, relative to the A-shares listed in the mainland. Therefore, based on the research on the phenomenon of "same shares with different prices" in cross-listed stocks at home and abroad, this paper combines the characteristics of the current A-share and H-share markets. From the angle of stock price difference of cross-listed companies, this paper puts forward the main factors that affect the price difference of cross-listed companies, and puts forward corresponding policy suggestions in order to provide a strong reference for promoting the healthy development of Chinese stock market. Based on the analysis of the development process of A-share and H-share markets and the characteristics of their price differences, this paper puts forward the hypothesis of factors that influence the price differences of AH shares, and it is based on the reform of split share structure at the same time. Taking the data from January 2007 to June 2011 as samples, 45 companies listed in both mainland A shares and Hong Kong H-shares are selected as samples, and empirical tests are conducted by panel data analysis method. And using Johansen cointegration test and Granger causality test to examine the correlation between A-share and H-share market, through theoretical analysis and empirical test of monthly trading data, It is concluded that the Shanghai and Shenzhen stock markets in the mainland have a certain degree of influence on the price discovery function of the Hong Kong stock market. At the same time, the information asymmetry, liquidity differences, demand elasticity differences and local risk differences in the investment markets of the two places, The difference of investment concept, industry factors and major policy influence are the important factors that cause the difference of A and H shares. The phenomenon of "different prices of the same shares" precisely reflects the lack of liquidity in the market, the imperfect disclosure of information, and so on. In view of this, the article finally proposes to strengthen financial innovation in the mainland market. Improve the market arbitrage mechanism and strengthen cross-listing and regulatory cooperation policies. With the gradual weakening of market segmentation, in the long run, the prices of H shares will tend to converge. And the convergence of stock prices for A-share market as soon as possible with international integration to provide a strong protection.
【学位授予单位】：西北大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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