中国货币政策对A-H股价格差异的影响研究

发布时间：2018-04-11 13:35

本文选题：交叉上市 + 货币政策　；参考：《南京大学》2013年硕士论文

【摘要】：随着全球经济一体化的发展和深入,越来越多的企业在商业动机和财务动机的驱使下进入国际资本市场,使得交叉上市成为国际金融领域一大引人注目的现象。我国交叉上市的历史较短,境内公司在A股市场和香港H股市场交叉上市成为常见的形式。针对交叉上市公司“同股不同价”现象,尤其是中国市场内资股相对外资股溢价的“难解之谜”,国内外学者进行了不少理论分析和实证研究,得出多方面的原因。本文以货币政策事件为切入点,试图对影响交叉上市公司A-H股价格差异的因素做进一步的讨论和分析。首先,本文在前人研究的基础上,对影响A-H股价格差异的一般性因素进行了理论分析；其次,就中国货币政策对内地和香港两地股票价格的传导进行了理论和经验分析；再次,利用事件研究方法,考察货币政策的宣告对A-H股价格差异产生的冲击。研究结果表明：货币政策中介目标——货币供应量的变化与两地股票市场价格变化并无关联；而对于非连续的货币政策事件,无论是扩张性还是紧缩性货币政策的宣告,均对A-H价格差异的变化产生影响。最后,根据文章结论,本文对未来A-H股价格差异的变化趋势提出研究展望,并给出相关政策建议。
[Abstract]:With the development and deepening of global economic integration, more and more enterprises enter the international capital market driven by commercial and financial motives, making cross-listing become a major phenomenon in the international financial field.The history of cross-listing in China is relatively short. Cross-listing of domestic companies in A-share market and H-share market in Hong Kong has become a common form.In view of the phenomenon of "the same share with different prices" in cross-listed companies, especially the "inextricable riddle" of the premium between domestic and foreign shares in the Chinese market, scholars at home and abroad have carried out a lot of theoretical analysis and empirical research, and come to many reasons.Based on the monetary policy events, this paper attempts to further discuss and analyze the factors affecting the price differences of A-H shares in cross-listed companies.First of all, based on the previous studies, this paper makes a theoretical analysis of the general factors affecting A-H stock price differences. Secondly, it makes a theoretical and empirical analysis on the transmission of China's monetary policy to the stock prices of the mainland and Hong Kong.This paper investigates the impact of the announcement of monetary policy on A-H share price difference by means of event study.The results show that there is no relationship between the change of monetary policy intermediate target and the price change of stock market in both places, but for discontinuous monetary policy events, whether expansionary or contractionary monetary policy is announced,Both of them have an effect on the variation of A-H price difference.Finally, according to the conclusion of the paper, this paper puts forward the research prospect of the change trend of A-H share price difference in the future, and gives some relevant policy suggestions.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F822.0;F832.51

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