AH孪生股票价格差异影响因素的定量研究

发布时间：2018-01-07 22:13

本文关键词：AH孪生股票价格差异影响因素的定量研究　出处：《上海师范大学》2017年硕士论文　论文类型：学位论文

【摘要】：孪生股票是指同一公司发行的股票在世界范围内交易,但却有不同的交易市场和所有者市场,其中同一股票具有不同的交易价格是最主要特征,这一现象被称为“孪生股票价差之谜”,它一直是学术界关注的热点。截止至2016年12月,内地和香港市场上已有88家“A+H”上市公司,随着“沪港通”在2014年11月开启后,相继“深港通”在2016年12月也已正式开启。本文旨在研究A股H股的价格差异因素及结合“沪港通”和“深港通”的开启对资本市场产生的影响。随着我国资本市场的蓬勃发展,资本市场的未来越来越重要,本文综合股票市场差异和投资主体行为等角度,利用动态面板数据,分析了中国双重上市公司A股和H股股票价格差异的原因,并且从市场分割入手,研究需求弹性差异、信息不对称、流动性差异、风险偏好差异、市场因素等对AH孪生股票价格差异的影响。结果发现:信息不对称假说、需求弹性差异假说、流动性差异假说和风险偏好差异等对于A、H股价差异都具有很强的解释能力。接下来,本文以“沪港通”“深港通”实施前后作为分段点,运用格兰杰因果关系检验分阶段方法,研究了AH股溢价变化情况。结果发现:在“沪港通”获批前,两地市场明显存在比较大的市场分割,而在“沪港通”获批后,A股H股两地流动明显增强;“深港通”作为建立在“沪港通”政策之后,其政策的稳定性和适用性较前者具有较大的提高;政策推出到启动的期间,市场股票间的流动更加频繁;最后在政策开启后,其影响广度有所降低,表明市场是较理性的。进一步,本文在回归模型当中又加入了两个虚拟变量,“沪港通”和“深港通”两大政策,建立固定效应模型。结果发现:“沪港通”政策使得A股H股的溢价具有正向的影响,而“深港通”政策使得A股H股的溢价具有负向的影响,且“深港通”对A股H股的溢价的影响程度要大于“沪港通”。在此基础上,笔者再利用沪港两地市场的实际情况提出一些政策性建议,并为完善“沪港通”和“深港通”以及为投资者提供一些参考,如引导投资者进行理性投资,建立套利投资策略等。
[Abstract]:Twin stock refers to the same company issued by the stock trading in the world, but there are different trading markets and owners' markets, in which the same stock with different trading prices is the most important feature. This phenomenon is known as the "twin stock price gap mystery", it has been the focus of academic attention. As of December 2016, there are 88 "A H" listed companies in the mainland and Hong Kong markets. With the opening of the Shanghai-Hong Kong Stock Connect in November 2014. In December 2016, the "Shenzhen-Hong Kong Stock Connect" has been officially opened. The purpose of this paper is to study the price difference factors of A-share H shares and the combination of "Shanghai Stock Connect" and "Shenzhen-Hong Kong Stock Connect". With the rapid development of China's capital market. The future of the capital market is becoming more and more important. This paper synthesizes the stock market differences and the behavior of investors, using dynamic panel data to analyze the reasons for the price differences between A-shares and H-shares of Chinese dual-listed companies. And from the market segmentation, the study of demand elasticity differences, information asymmetry, liquidity differences, risk preference differences. The results show that: information asymmetry hypothesis, demand elasticity hypothesis, liquidity difference hypothesis and risk preference difference. H stock price differences have a strong ability to explain. Next, this paper takes "Shanghai Stock Connect" and "Shenzhen-Hong Kong Link" as the segmentation point, using Granger causality test method. The change of AH premium is studied. The results show that before the approval of the Stock Connect between Shanghai and Hong Kong, there is an obvious market segmentation between the two markets, and after the approval of the Stock Connect, the flow of H shares in A shares between Hong Kong and Shanghai is obviously enhanced. The stability and applicability of Shenzhen-Hong Kong Stock Connect, which was established in the policy of "Stock Connect between Shanghai and Hong Kong", is much higher than that of the former. From the introduction of the policy to the start of the period, the market stock flows more frequently; Finally, after the policy started, its impact breadth has been reduced, indicating that the market is more rational. Further, this paper adds two virtual variables in the regression model, the "Stock Connect" and "Shenzhen Stock Connect" policy. The results show that the "Stock Connect" policy has a positive impact on the premium of A-share H shares, while the "Shenzhen-Hong Kong Stock Connect" policy has a negative impact on the premium of A-share H-share. And the "Shenzhen-Hong Kong Stock Connect" has a greater impact on the premium of A-share H shares than the Shanghai-Hong Kong Stock Connect. On this basis, the author makes use of the actual situation of the Shanghai and Hong Kong markets to put forward some policy suggestions. It also provides some references for the improvement of the Stock Connect between Shanghai and Hong Kong and the Stock Connect between Shenzhen and Hong Kong, such as guiding investors to invest rationally and establishing arbitrage investment strategy.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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