A股B股市场分割实证分析

发布时间：2018-02-16 04:10

本文关键词： A股 B股市场分割　出处：《苏州大学》2014年硕士论文　论文类型：学位论文

【摘要】：从理论上来说，出于一价定律，“同股同权”的股票则应“同价”。而现实中，由于市场分割现象的存在，往往会出现“同股同权不同价”的现象，，中国的A、B股市场就是一个很好的例子。随着浙能电力B股转A股上市首日大涨53.71%，A股相对于B股的溢价问题再次进入投资者的视野。本文旨在研究A、B股的溢价情况及产生溢价的原因。本文在充分分析历年来国内外学者提出的各种理论及模型的基础上，选取2002年至2014年3月之间沪市41家、深市38家双重上市的公司，采用逐步回归模型，从全新的角度来探索A股相对于B股溢价的原因。通过实证分析，本文得到以下结论：（1）A、B股两个市场存在明显的市场分割，但是随着2005年股权分置改革的推进，市场分割程度得到了一定的减弱；在近几年，随着市场的进一步发展及资本市场的不断开放，A、B两个市场的一体化进程正在不断的加快，但是仍然存在着较为明显的市场分割现象。（2）在沪市中，造成A股相对于B股溢价的主要原因有A、B两市信息不对称、风险差异以及投资者对A、B两个市场的股票的需求不同。其中最主要的原因为两市的风险存在差异。（3）在深市中，造成A股相对于B股溢价的主要原因为风险差异及信息不对称，其中最主要是因为两市的风险差异，差别需求假说基本不能解释深市的A股溢价情况。根据研究结论，本文在最后提出了一些政策建议：规范信息披露制度、引导正确的资金流动方向、上市公司合理分配A、B股融资比例、增加机构投资者、加快金融改革创新的步伐。
[Abstract]:In theory, from the law of one price, the same rights "should be" stock price ". But in reality, due to market segmentation phenomenon, often have the same rights different price" phenomenon, China A, B-share market is a good example with Zhejiang electric power. B shares A shares listed on the first day of A shares rose 53.71%, compared to the premium B again into the view of investors. This paper aims to study the A premium B and premium.
Based on the analysis of various theories and models in recent years domestic and foreign scholars on the selection between 2002 and March 2014 41 Shanghai and Shenzhen 38 dual listed companies, using stepwise regression model, from a new perspective to explore A shares relative to B premium from the original. Through empirical analysis, this paper obtained the following conclusions: (1) A, there are two obvious market B-share market segmentation, but with the 2005 split share reform, the degree of market segmentation has been weakened; in recent years, with the continuous opening, the further development of capital market and the market of A, the integration process of the two markets are constantly B speeding up, but there are still more obvious market segmentation phenomenon. (2) in Shanghai, A shares relative to the main reason causing the B-share premium A, B two, asymmetric information, risk difference and the investors of A, B two The stock market needs different. The risk is the main reason for the two cities are different. (3) in Shenzhen, A shares relative to the main reason causing the risk premium for B-share differences and information asymmetry, which is mainly because of the difference of risk two of the difference between basic demand hypothesis cannot explain the Shenzhen A shares premium.
According to the research conclusion, this paper finally puts forward some policy recommendations: standardizing the information disclosure system, guiding the correct direction of capital flow, rationally distributing the proportion of A and B shares, increasing institutional investors and accelerating the pace of financial reform and innovation.

【学位授予单位】：苏州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【参考文献】