基于面板数据的我国A股H股价格差异因素分析

发布时间：2018-08-18 17:36

【摘要】：同一上市公司在不同市场上市,由于公司基本面一致,所赋予股票的股权相同,具有相同的现金流和风险系数,根据一价定律,公司股票的价格也应该相同,即“同股同权同价”。然而在现实中,同一公司在不同资本市场上的股票价格却有差异。这是国际资本市场上普遍存在的一种现象。本文研究A股、H股市场“同股同权不同价”的现象。本文在充分分析国内外学者提出的各种理论的基础上,借鉴国内外学者已有的研究方法,选取2009年1月至2011年6月期间我国45家A股、H股双重上市公司做为样本,通过建立面板数据模型研究A股对H股溢价的因素。通过实证分析,本文得到以下结论：(1)A股、H股市场之间存在明显的市场分割,但这种市场分割现象在逐年减弱甚至消除,表现为A股相对H股的溢价率在样本期间内逐渐减小。(2)本文发现通过聚类对样本同异质性进行检验是行之有效的办法,即先对样本进行聚类分析,将样本分为高溢价率类和低溢价率类,在分类之后再分别对每类样本进行拟合。(3)信息不对称差异、流动性差异、需求差异是A股、H股价格差异的影响因素,但投资理念差异对低溢价率和高溢价率的影响都不显著,不是A股、H股价格差异的影响因素,这与以前学者的研究结论不同。(4)低溢价率类样本中信息不对称差异对A股、H股溢价率的影响为负,这一结论与国内外学者对低溢价率类股票影响的结论相一致。然而在高溢价率类中,信息不对称差异对A股、H股溢价率的影响为正,这与以前学者的研究结论不同。根据研究结论,本文最后提了一些政策建议：加强和规范信息披露制度,提高信息披露透明度和力度；加快金融创新,增加市场广度；引导资金双向流动,建立套利机制；增加机构投资者,降低A股市场的投机程度等。
[Abstract]:When the same listed company is listed in different markets, because the company has the same fundamentals, the shares are given the same shares and have the same cash flow and risk coefficient, according to the law of one price, the stock price of the company should also be the same. That is, "the same share of the same right and equal price." In reality, however, there are differences in the stock prices of the same company in different capital markets. This is a common phenomenon on the international capital market. In this paper, A-share, H-share market "same shares with different prices" phenomenon. Based on the full analysis of various theories put forward by domestic and foreign scholars and drawing on the existing research methods of domestic and foreign scholars, this paper selects 45 A-shares from January 2009 to June 2011 as samples. Through the establishment of panel data model to study A-share to H shares premium factors. Through empirical analysis, the following conclusions are obtained: (1) there are obvious market segmentation between A-share and H-share markets, but this market segmentation phenomenon is weakened or even eliminated year by year. It is shown that the premium rate of A shares to H shares gradually decreases during the sample period. (2) this paper finds that it is an effective method to test the homogeneity of samples by clustering, that is, to cluster the samples first. The samples are divided into high premium rate category and low premium rate category. After classification, each sample is fitted separately. (3) Information asymmetry difference, liquidity difference and demand difference are the influencing factors of A-share and H-share price difference. However, the difference of investment idea has no significant effect on the low premium rate and high premium rate, not the influence factor of the price difference of A shares and H shares. This is different from previous research conclusions. (4) the effect of asymmetric information on A-share and H-share premium rate is negative in the sample of low premium rate, which is consistent with the conclusion of domestic and foreign scholars on the influence of low premium rate stock. However, in the category of high premium rate, the information asymmetry difference has a positive effect on the premium rate of A shares and H shares, which is different from previous studies. According to the conclusion of the study, this paper finally puts forward some policy suggestions: strengthening and standardizing the information disclosure system, improving the transparency and intensity of information disclosure, speeding up financial innovation, increasing the market breadth, guiding the two-way flow of funds and establishing arbitrage mechanism; Increase institutional investors, reduce the degree of speculation in the A-share market.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

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