深港通对AH股价差影响的实证分析

发布时间：2018-05-22 11:55

本文选题：深港通 + AH股价差　；参考：《集美大学》2017年硕士论文

【摘要】：我国资本市场中双重上市公司股票A+H股“同股不同价”的现象已经存在很长时间了。产生这种现象的根本原因是A股市场较为封闭,与H股市场呈分割状态。为了改善两地市场分割的现状,深化中国资本市场的开放进程,两地证券监管部门联合先后推出了沪港通与深港通。其中,深港通作为沪港通的升级版,完善了两地互通互联的机制,进一步推进了中国境内资本市场与国际接轨。在此背景下,本文旨在研究深港通政策对AH股价差的影响。同时,基于新的研究背景总结分析影响AH股价差的因素。这对于境内外投资者、相关监管部门都具有现实意义。本文首先梳理国内外关于AH股价差研究的文献以及关于沪港通政策对于AH股价差影响的文献。在文献回顾中整理归纳出的AH股价差影响因素主要包括流动性差异、信息不对称、需求弹性差异、风险偏好差异等。随后本文对我国资本市场开放进程进行梳理,对深港通交易情况进行介绍,并着重对深港通对的AH股价差的影响进行理论分析。为了清晰的验证深港通政策效果及影响AH股价差的关键因素。本文分别从宏观层面与微观层面建立市场模型与投资者模型,将深港通政策作为虚拟变量引入模型中,从实证角度来分析深港通政策对AH股价差的具体影响,同时分析总结在新背景下影响AH股价差的宏微观因素。本文实证分析结果显示,从宏观角度来看,深港通政策使得AH股价差略微缩小,这表明未来在深港通政策的影响下,两地市场联系越发紧密,AH股价差可能呈缩小的趋势。此外,汇率是影响AH股价差的最重要的宏观因素。从微观角度来看,深港通政策对AH股价差具有轻微拉大作用。本文认为这是由于深港通刚开通不久,两地投资者热情较高,尤其是A股市场投机者较多,导致AH股价差的略微扩大。通过应用固定效应模型分析,认为在深港通背景下,流动性差异、信息不对称、需求弹性差异依然是AH股价差的影响因素。对比沪港通,深港通开通后更有效地改善了两地的市场分割状况,上述三个因素的影响力有所减弱。同时,本文认为风险偏好差异不再影响AH股价差。
[Abstract]:In the capital market of our country, the phenomenon of double-listed companies'A and H shares with different prices has existed for a long time. The root cause of this phenomenon is that A-share market is relatively closed, and H-share market is divided. In order to improve the current situation of market segmentation and deepen the opening process of China's capital market, the securities regulatory authorities of the two places jointly launched the Stock Connect between Shanghai and Hong Kong and the Stock Connect between Shenzhen and Hong Kong. Among them, Shenzhen Stock Connect, as an upgrade version of Shanghai and Hong Kong Stock Connect, has improved the mechanism of interconnection between the two places, and further promoted the domestic capital market in China to connect with the international market. In this context, this paper aims to study the impact of Shenzhen Hong Kong Link policy on the AH stock price gap. At the same time, based on the new research background, the factors affecting the AH stock price difference are summarized and analyzed. This for domestic and foreign investors, relevant regulatory authorities have practical significance. This paper firstly combs the literature about AH stock price difference and the influence of Stock Connect policy on AH stock price difference at home and abroad. The influencing factors of AH stock price difference are summarized in literature review, including liquidity difference, information asymmetry, demand elasticity difference, risk preference difference and so on. Then this paper reviews the process of opening up the capital market in China, introduces the trading situation of Shenzhen Hong Kong Link, and focuses on the theoretical analysis of the influence of Shenzhen Hong Kong Link on the AH stock price difference. In order to clearly verify the effectiveness of Shenzhen Hong Kong Link policy and the key factors affecting the AH stock price gap. This paper establishes the market model and the investor model from the macro level and the micro level, introduces the Shenzhen Hong Kong link policy as the fictitious variable into the model, and analyzes the concrete influence of the Shenzhen Hong Kong link policy on the AH stock price difference from the empirical point of view. At the same time, analyze and summarize the macro and micro factors that affect the AH stock price difference under the new background. The empirical results of this paper show that, from a macro point of view, the Shenzhen-Hong Kong link policy makes the AH stock price gap narrow slightly, which indicates that under the influence of Shenzhen-Hong Kong link policy, the relationship between the two markets is closer and closer, and the AH stock price gap may decrease. In addition, the exchange rate is the most important macro factor affecting the AH stock price difference. From a micro point of view, Shenzhen-Hong Kong Link policy on the AH stock price gap has slightly widened. This is due to the high enthusiasm of investors in Shenzhen and Hong Kong, especially the large number of speculators in the A-share market, resulting in a slight expansion of the AH stock price gap. Through the analysis of fixed effect model, it is concluded that the differences of liquidity, information asymmetry and demand elasticity are still the influencing factors of AH stock price difference under the background of Shenzhen Hong Kong Link. Compared with Shanghai Stock Connect, Shenzhen-Hong Kong Stock Connect has improved the market segmentation more effectively, and the influence of the above three factors has been weakened. At the same time, this paper believes that risk preference differences no longer affect the AH stock price difference.
【学位授予单位】：集美大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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