中国跨境上市企业的溢出效应研究

发布时间：2018-03-27 18:08

本文选题：跨境上市　切入点：溢出效应　出处：《复旦大学》2012年硕士论文

【摘要】：本文研究跨境上市公司的股票在不同市场间的溢出效应,以及溢出效应的传导机制。研究对象针对中国海外上市企业,研究样本为同时在中国香港和美国上市的中国大陆企业。本文提出了五个假设,一是在香港和美国市场间存在明显的溢出效应；二是溢出效应存在明显的主次之分,由美国向香港市场传导；三是溢出效应表现为动量效应；四是溢出效应强度与信息不对称程度正相关；五是香港市场投资风格相对于美国市场投机性更强。本文采用的实证研究方法是LMSW模型、两步回归分析。第一步回归对本国市场股票收益率和海外市场股票收益率分别作交叉时间序列分析,剔除系统性波动影响,分析溢出效应强弱和方向。第二步回归采用横截面分析,将第一步回归得到的溢出效应系数对信息不对称程度代理变量做回归,进一步考察溢出效应与信息不对称程度之间的关系。实证研究结果分析中,对溢出效应系数作t检验和显著性水平分析,并按企业市值分组对溢出效应强度与信息不对称程度相关性作显著性水平分析。本文的研究结论是：两地上市的中国企业在香港市场和美国市场之间存在溢出效应并且表现为从美国市场向香港市场传导的动量效应；而两地资本市场间的信息不对称程度越高,溢出效应越强；对于公司来说,跨境上市带来的不利影响在于公司股价会因为溢出效应的存在,而波动更剧烈,公司的市值不易控制；同时还带来一些额外的成本,如：为适应不同监管体制而增加的成本、会计制度差异带来的运营成本、信息披露的差异带来的成本和不同投资者诉求带来的成本等。
[Abstract]:In this paper, the spillover effect of cross-border listed companies in different markets and the transmission mechanism of spillover effects are studied. The subjects of this study are Chinese mainland companies listed in Hong Kong and the United States at the same time. This paper puts forward five hypotheses, one is that there is obvious spillover effect between Hong Kong and American market, the other is that the spillover effect is divided into primary and secondary, and the spillover effect is transmitted from the United States to Hong Kong market, the third is that the spillover effect is momentum effect. The fourth is that the intensity of spillover effect is positively related to the degree of information asymmetry, and the fifth is that the investment style of Hong Kong market is more speculative than that of the United States market. The empirical research method used in this paper is LMSW model, two-step regression analysis. The second step regression adopts cross section analysis, and the spillover effect coefficient obtained by the first step regression is regressed to the agent variable of information asymmetry degree. Further study the relationship between spillover effect and the degree of information asymmetry. In the empirical analysis, t test and significant level analysis are made on the spillover effect coefficient, and significant level analysis is made on the correlation between the spillover effect intensity and the degree of information asymmetry according to the group of enterprises market value. The conclusions of this paper are as follows: there is spillover effect between Hong Kong and American market and the momentum effect from American market to Hong Kong market; The higher the degree of information asymmetry between the two capital markets, the stronger the spillover effect. For a company, the adverse effect of cross-border listing is that the share price of the company will fluctuate more violently because of the spillover effect. Market value of the company is not easy to control; at the same time, there are some additional costs, such as increased costs to adapt to different regulatory systems, and operating costs of accounting system differences. The cost brought by the difference of information disclosure and the cost brought by different investors' demands.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【相似文献】