AH股溢价影响因素的实证分析

发布时间：2018-04-28 01:48

本文选题：沪港通 + AH股溢价水平　；参考：《华中师范大学》2017年硕士论文

【摘要】：2014年11月17日,沪港通的开通实现了上海和香港股票市场的双向开放,2016年8月17日,深港股票市场交易互联互通机制正式获批。随着我国资本市场开放进程不断加速,内地和香港市场股价差异问题受到越来越多的关注。从整体上看,以往研究主要集中在对传统的市场分割理论的扩展和实证检验,对投资者情绪这一影响因素的研究还较少。从现实意义上来看,研究AH股溢价水平影响因素不仅有利于引导投资者做出合理的投资决策,而且有利于促进我国资本市场开放。因此,本文结合当前沪港通政策背景,利用封闭式基金折价率对投资者情绪进行度量,试图从政策、制度、市场、行业以及投资者情绪等方面多角度分析AH股溢价的影响因素,并在模型中引入投资者情绪指标,对AH股溢价提供了新的理论解释。本文选取2008年1月日1至2016年12月31日期间25家AH股双重上市公司的44975组面板数据,选用随机效应模型,采用不含个体效应的可行广义最小二乘法(FGLS)进行估计,实证分析政策、制度、市场、行业和投资者行为因素对AH股溢价水平影响的显著水平。实证结果表明:A股对H股存在较为明显的溢价,且溢价水平整体偏高。其中制度因素、市场因素以及行业因素对AH股溢价水平的影响较为显著。而由于额度限制和市场非理性波动,政策因素对AH股溢价水平的影响并不显著,投资者情绪指标也因为封闭式基金集体到期转型而没有通过显著性检验。基于理论分析和实证检验结果,本文提出如下建议:1.进一步完善“沪港通”和“深港通”等互联互通机制;2.建立完善的套利机制;3.全面加强资本市场的监管,并保证市场监管身份单一和职能明确。当前我国资本项目还有待进一步放开,两地市场在市场结构、交易制度和投资者行为偏好方面还存在较大差异,在这种情况下,AH股溢价仍会长期存在。所以,将AH股溢价水平控制在合理范围之内,将有助于提高金融市场的稳定性和平衡性,有效提高资源的配置效率,让资本市场更好地服务于实体经济发展,同时也有利于香港进一步发挥全球金融中心的重要作用。
[Abstract]:On November 17, 2014, the opening of the Stock Connect between Shanghai and Hong Kong realized the two-way opening of the stock market in Shanghai and Hong Kong. On August 17, 2016, the trading connectivity mechanism of the Shenzhen-Hong Kong stock market was formally approved. With the acceleration of China's capital market opening process, more and more attention has been paid to the stock price difference between the mainland and Hong Kong markets. On the whole, the previous studies mainly focus on the expansion and empirical test of the traditional market segmentation theory, but the research on the influence factor of investor sentiment is still less. From a realistic point of view, studying the influencing factors of AH premium level is not only conducive to guiding investors to make reasonable investment decisions, but also conducive to promoting the opening of China's capital market. Therefore, based on the background of the current Stock Connect policy, this paper uses the discount rate of closed-end funds to measure investor sentiment, and tries to analyze the influencing factors of AH premium from the aspects of policy, institution, market, industry and investor sentiment. This paper introduces investor sentiment index into the model and provides a new theoretical explanation for AH share premium. From January 1, 2008 to December 31, 2016, this paper selects 44975 sets of panel data from 25 dual-listed AH companies, chooses random effect model, uses the feasible generalized least square method without individual effect to estimate, and analyzes the policy empirically. The significant effect of institutional, market, industry and investor behavioral factors on AH premium levels. The empirical results show that A shares have a significant premium to H shares, and the premium level is on the high side. Institutional factors, market factors and industry factors have a significant impact on AH premium level. However, due to the limitation of quota and irrational fluctuation of market, the influence of policy factors on AH premium level is not significant, and the index of investor sentiment has not passed the significance test because of the collective maturity transition of closed-end funds. Based on the theoretical analysis and empirical test results, this paper puts forward the following suggestion: 1. We will further improve the connectivity mechanisms such as the Shanghai-Hong Kong Stock Connect and the Shenzhen-Hong Kong Stock Connect. Establish a perfect arbitrage mechanism. To strengthen the supervision of the capital market, and to ensure that the status of market regulation is single and clear. At present, China's capital account needs to be further liberalized, and there are still great differences in market structure, trading system and investors' behavior preference between the two markets. In this case, the premium of AH shares will still exist for a long time. Therefore, controlling the AH premium level within a reasonable range will help to improve the stability and balance of the financial market, effectively improve the efficiency of resource allocation, and enable the capital market to better serve the development of the real economy. At the same time, it is also conducive to Hong Kong's further development of the important role of the global financial center.
【学位授予单位】：华中师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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