沪港通对我国AH股价差影响的实证研究

发布时间：2018-02-13 19:12

本文关键词： AH股价差沪港通信息不对称流动性差异公司规模　出处：《首都经济贸易大学》2017年硕士论文　论文类型：学位论文

【摘要】：随着沪港通的开通,大陆市场与香港市场的联系日益紧密,资金流动更加频繁,提高了两地市场的开放水平。但是,我国双重上市公司的AH股价差一直存在。区别于其他市场,我国A股价格要高于H股价格,即内资股溢价,这被称为“中国股市之谜”。而沪港通是否会对价差产生影响,要从多个方面综合衡量。为了对这一现象进行深入地研究,本文首先对研究背景、研究内容及方法进行了概述,之后从三个方面对影响AH股价差的因素进行了文献综述,接下来介绍了A股市场、H股市场的发展概况,由于两地市场制度和交易制度的差异,AH股价差产生。随后,文章阐述了沪港通的由来、交易概况以及对AH股价差造成的影响。在接下来的章节中,本文开始进行实证分析。实证部分以86家双重上市公司2012年3月5日至2016年9月30日的月度交易数据作为样本数据,选取AH股价差作为被解释变量,把沪港通设置为虚拟变量并作为解释变量,控制变量包括信息不对称、流动性差异、需求弹性、风险偏好、系统风险等五个市场因素,公司规模、投资者结构等两个公司因素。运用stata软件将面板数据进行回归,结果表明沪港通对AH股价差有显著的正向影响。随后将股票分为沪港通标的股与非标的股两组,再分别进行回归发现,沪港通对其价差也都有显著的正向影响。这与预期假设的符号相反,可能是因为沪港通刺激了A股市场,导致AH股价差扩大。同时,信息不对称、流动性差异、公司规模也是影响AH股价差的重要因素。最后,本文根据实证研究结果提出了相应的政策建议,主要内容包括:拓宽投资渠道,促进资本市场开放;加强信息监管,健全信息披露制度;加快金融创新,丰富金融产品类别;加强投资教育,培养理性投资观念;转变投资方式,增加机构投资者比例。
[Abstract]:With the opening of the Stock Connect between Shanghai and Hong Kong, the mainland market and the Hong Kong market have become increasingly closely linked, and the capital flows have become more frequent, raising the level of opening up of the two markets. However, the gap in AH stock prices of the dual-listed companies in China has always existed. It is different from other markets. The price of A shares in China is higher than the price of H shares, that is, the premium of domestic shares, which is called "the mystery of the Chinese stock market." whether the Stock Connect of Shanghai and Hong Kong will have an impact on the spread of prices should be comprehensively measured from many aspects. In order to conduct a thorough study of this phenomenon, This paper first summarizes the research background, research contents and methods, then summarizes the factors affecting the AH stock price difference from three aspects, and then introduces the development of A-share market and H-share market. As a result of the difference between the two market systems and the trading system, the difference of AH stock price is produced. Then, the origin of the Stock Connect between Shanghai and Hong Kong, the general situation of the transaction and the influence on the AH stock price difference are described. In the following chapters, The empirical part takes 86 dual-listed companies' monthly transaction data from March 5th 2012 to September 30th 2016 as the sample data, and selects the AH stock price difference as the explained variable. Shanghai Stock Connect is set up as a virtual variable and used as an explanatory variable. The control variables include information asymmetry, liquidity differences, demand elasticity, risk preference, system risk, and company size. Using stata software to regression the panel data, the results show that Stock Connect has a significant positive impact on the AH stock price difference. Then, the stock is divided into two groups: Shanghai Stock Connect shares and non-listed shares. By regression analysis, we find that the Stock Connect also has a significant positive effect on the spread of its price. This is contrary to the expected assumption. This may be because the Stock Connect stimulates the A-share market, resulting in the widening of the AH stock price gap. At the same time, the information is asymmetrical. The difference of liquidity and the size of the company are also the important factors affecting the AH stock price difference. Finally, according to the empirical research results, this paper puts forward the corresponding policy recommendations, including: widening the investment channels, promoting the opening of the capital market; Strengthen information supervision, perfect information disclosure system, accelerate financial innovation, enrich financial product category, strengthen investment education, train rational investment concept, change investment mode and increase the proportion of institutional investors.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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