A股、H股交叉上市公司股票价格差异的影响因素研究

发布时间：2018-09-06 16:54

【摘要】：全球经济的飞速发展,为企业的成长壮大带来了一个绝佳的机遇,单一的资本市场已无法满足企业对资本的强烈需求。为了同时利用国内外多个资本市场的资源进行融资,交叉上市成为企业一种重要的融资方式。在这样的背景下,中国内地企业,尤其是一些实力雄厚的国企不能满足于境内的资本市场,纷纷选择到境外上市,而香港由于其独特的地理位置和成熟完善的资本市场环境成为内地企业交叉上市的主流趋势所向。资本市场之间存在分割状态,因此造成交叉上市公司在不同市场上的股票价格产生差异。在中国,从第一家实现香港、内地交叉上市的公司开始,两个市场的股票价格就一直存在差异。从本质上讲,同一家公司的股票拥有相同的权利和义务,不应该表现出差异。但在分割的资本市场,价差的存在有一定的合理性。内地、香港资本市场存在严重的市场分割,因此出现了内地企业在A股、H股交叉上市的价差现象。价差的存在使公司的价值不能合理在市场中表现出来,如何消除价差是学者和相关监管部门都十分关注的问题。为了消除价差,必须对影响价差的因素进行深入的研究。论文以在A股、H股交叉上市公司的股票价格为研究对象,基于市场分割理论,对A股、H股价差的影响因素进行全面分析。在影响因素分析部分论文考虑了流动性、需求弹性、信息不对称、投资者风险偏好、股权分置改革和公司所属行业特征因素,以此设计相应的替代变量并提出研究假设,然后通过建立多元回归模型对论文的假设进行实证检验。实证结果显示,流动性、需求弹性和信息不对称因素对A股和H股的股价差有显著的影响,与论文原假设一致；而股权分置改革和投资者风险偏好对价差的影响则不太显著,与论文原假设不一致。在实证分析部分,对论文的实证结果逐一进行解释。最后根据论文的研究结果提出一些政策建议和未来的研究方向。
[Abstract]:The rapid development of the global economy has brought an excellent opportunity for the growth of enterprises. A single capital market can no longer meet the strong demand for capital. In order to make use of the resources of many capital markets at home and abroad, cross-listing has become an important financing method for enterprises. Against this background, mainland Chinese enterprises, especially some powerful state-owned enterprises, which cannot be satisfied with the domestic capital market, have chosen to list overseas one after another. Due to its unique geographical location and mature capital market environment, Hong Kong has become the mainstream trend of cross-listing of mainland enterprises. There is a split state between the capital markets, which results in the difference of the stock prices of cross-listed companies in different markets. In China, stock prices have been different between the two markets since the first cross-listed company in Hong Kong and mainland China. Essentially, shares of the same company have the same rights and obligations and should not show differences. But in the split capital market, the existence of the spread has certain rationality. There is a serious market segmentation in the capital market of mainland and Hong Kong, so there is the spread of price difference between mainland enterprises in A shares and H shares. The existence of the price difference makes the value of the company unreasonable in the market. How to eliminate the price difference is a problem that scholars and relevant regulatory departments pay close attention to. In order to eliminate the spread, the factors affecting the spread must be deeply studied. Based on the theory of market segmentation, this paper makes a comprehensive analysis of the influencing factors of the price difference between A shares and H shares in the cross-listed companies of A shares and H shares. In the part of influencing factor analysis, the paper considers liquidity, demand elasticity, information asymmetry, investor risk preference, split share structure reform and industry characteristics of the company, so as to design the corresponding alternative variables and put forward the research hypothesis. Then the hypothesis of the thesis is tested by establishing multiple regression model. The empirical results show that liquidity, demand elasticity and information asymmetry have significant effects on the stock price difference between A shares and H shares, which is consistent with the original hypothesis of the paper, while the influence of the split share structure reform and investor risk preference on the price difference is not significant. It is inconsistent with the original hypothesis of the paper. In the part of empirical analysis, the empirical results are explained one by one. Finally, according to the results of the paper, some policy suggestions and future research directions are put forward.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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