AH股两市股价联动性及其与H股折价率波动性的联系

发布时间：2018-04-30 02:15

本文选题：AH股 + 信息传递　；参考：《复旦大学》2012年硕士论文

【摘要】：国内外学者对于分割市场上股票表现的联系进行了大量的研究。而在香港股票市场和内地股票市场同时上市的AH股,由于这两个市场之间联系的特殊性而成为很好的研究标的。这方面的研究成果有效地促进了两地AH股回归合理定价,并且能够为相关政策的制定与实施提供理论支持。与以往对AH股两市信息传递的研究不同,本文选取从1998年至2010年总共十三年的日数据进行检测,增加了检验结果的说服力。另外,本文从指数和个股两个方面来考虑两市股价的联系,并且得出指数层面与个股层面不尽相同的结论。本文首先通过统计学上的协整检验和因果关系检验来挖掘两市指数和AH股个股在1998年初至2010年底这个时间段内股价相联系的特征,同时考虑了在股权分置改革后,这些关系的变化。并对这种联系提供理论上的解释。接着,本文通过对AH股中H股的日均折价率状况和引起因素进行分析,发现折价率的波动性在不同的时间段呈现不同的特征。根据波动性的不同,本文将时间区间分成四个时间段。最后,本文根据以上分析的结果对每个时间段内的AH股两市股价的协整性和因果关系进行检验,将其与折价率的波动性相联系,并对这种联系做出解释。本文所使用的软件是Eviews,协整检验和因果关系检验分别使用Johansen协整检验法和Granger因果检验法。结果表明,1998年至2010年这十三年中,从指数的角度来看,股市信息流主要是从A股市场传向H股市场,也即A股股价引导H股股价,特别是在股权分置改革之后,这种信息传递更加明显。而从AH股个股的角度来看,多数股票的信息流是由H股市场流向A股市场,也即H股股价引导A股股价。另外在折价率波动性较大的时间段内,AH股两市价格的协整性也较强。反之在折价率波动性较小的时间段内,两市价格之间的协整性也较小。
[Abstract]:Scholars at home and abroad have done a lot of research on the relationship between the performance of stocks in the segmentation market. AH shares, which are listed in both the Hong Kong stock market and the mainland stock market, have become a good research subject because of the particularity of the connection between the two markets. The results of this study can effectively promote the return of AH shares to reasonable pricing and provide theoretical support for the formulation and implementation of relevant policies. Different from the previous studies on the information transmission between the two markets of AH shares, this paper selects a total of 13 years of daily data from 1998 to 2010 to carry out the test, which increases the persuasiveness of the test results. In addition, this paper considers the relationship between the stock price of the two markets from the index and the stock, and draws the conclusion that the index level is different from the stock level. In this paper, we first use the cointegration test and causality test to explore the characteristics of the relationship between the two stock indexes and AH stocks during the period from the beginning of 1998 to the end of 2010. At the same time, we consider that after the split share structure reform, The changes in these relationships. And provide a theoretical explanation for this connection. Then, through the analysis of the daily average discount rate of H shares in AH shares and the causes, it is found that the volatility of the discount rate presents different characteristics in different time periods. According to the different volatility, this paper divides the time interval into four periods. Finally, this paper tests the cointegration and causality of AH stock price in each time period according to the results of above analysis, and makes an explanation of this connection to the volatility of discount rate. The software used in this paper is Eview, cointegration test and causality test using Johansen cointegration test and Granger causality test, respectively. The results show that in the 13 years from 1998 to 2010, from the perspective of the index, the information flow of the stock market is mainly transmitted from the A-share market to the H-share market, that is, the A-share price leads to the H share price, especially after the split share structure reform. This kind of information transmission is more obvious. From the perspective of individual AH shares, the information flow of most stocks flows from the H-share market to the A-share market, that is, the H-share price guides the A-share price. In addition, there is a strong cointegration between AH and AH prices in the period of high volatility of discount rate. On the other hand, the cointegration between the two markets is smaller in the period of low volatility of discount rate.
【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

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