“沪港通”政策对两地上市企业股票价格差异影响的实证研究

发布时间：2018-04-10 04:26

本文选题：沪港通　切入点：两地上市公司　出处：《暨南大学》2017年硕士论文

【摘要】：AH两地上市公司股票存在价差的问题在我国由来已久,许多学者一致认为大陆香港两地市场分割,资本流通受到限制导致套利者无法通过套利消除此种差异是AH两地上市公司股票存在价差的主要原因。2014年11月17日,备受瞩目的“沪港通”政策在这一天正式实施,“沪港通”政策允许大陆和香港的合格投资者互相买卖规定范围内的股票,沪港两地上市的股票均在规定范围之内。“沪港通”政策的实施提高了内地股市的有效性,是我国资本市场进一步开放的重要举措。本文基于倍差法,运用AH两地上市公司的股票和财务数据,通过对两地相对CAR和价差变化的研究,旨在探究“沪港通”政策实施的影响效果。沪港两地上市的公司股票因在沪港通开通后可互相交易被称为实验组,而深港两地上市公司的股票在政策实施后不可进行交易而成为天然的控制组。通过实证研究,本文发现:(1)沪港通实施日使得实验组的两地相对CAR比控制组的低约3%;(2)由于A股通常相对于H股溢价,实验组公司两地相对CAR的减小的主要原因是H股的CAR增大了;(3)“沪港通”政策在宣告日对AH两地上市公司股票价格并未产生显著的影响效应,因此资本融通是使得“沪港通”政策产生影响的最主要因素。
[Abstract]:There has been a long history of the spread between the shares of listed companies in AH and Hong Kong. Many scholars agree that the mainland and Hong Kong markets are divided.Restrictions on capital flows have prevented arbitrageurs from eliminating such differences through arbitrage, which is the main reason why there is a spread in the prices of AH dual-listed companies. On November 17, 2014, the high-profile "Stock Connect" policy was officially implemented.The Shanghai-Hong Kong Stock Connect policy allows qualified investors from mainland China and Hong Kong to buy and sell each other's shares within specified limits.The implementation of the "Stock Connect between Shanghai and Hong Kong" policy has improved the effectiveness of the mainland stock market and is an important measure for the further opening of China's capital market.Based on the double difference method and using the stock and financial data of AH listed companies, this paper aims to explore the effect of the implementation of the "Stock Connect between Shanghai and Hong Kong" policy through the study of the relative CAR and the variation of the price difference between the two places.After the opening of the Stock Connect between Shanghai and Hong Kong, the shares of the listed companies in Shanghai and Hong Kong can be called the experimental group, while the shares of the companies listed in Shenzhen and Hong Kong cannot be traded after the implementation of the policy and become the natural control group.Through empirical research, we find that the day of implementation of the Stock Connect between Shanghai and Hong Kong makes the relative CAR of the experimental group about 3 / 2 lower than that of the control group) because A shares are usually at a premium to H shares.The main reason for the decrease of CAR in the two places of the experimental group is that the CAR of H shares increases) the "Stock Connect" policy of Shanghai and Hong Kong does not have a significant effect on the stock price of the two listed companies on the date of announcement.Therefore, capital financing is the most important factor that causes the policy of Stock Connect between Shanghai and Hong Kong.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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