沪港通的开通对AH股票溢价影响的实证研究

发布时间：2018-04-11 04:20

本文选题：沪港通 + 交叉上市　；参考：《山东大学》2017年硕士论文

【摘要】：我国股票市场中长期存在着独特的AH股溢价的现象,并且随着沪港通的开通溢价水平进一步升高,这一现象与预期不符、引人深思。本文在总结国内外学者对于"同股不同价"问题的研究基础上,从影响AH股溢价的因素入手,结合我国A股市场和H股市场存在的多方面差异,提出了影响AH股价格差异的主要因素:需求弹性的不同、流动性方面存在差异、信息一定程度的不对称、对待风险的态度差异和投资者投机行为程度的差异、汇率制度差异。通过实证研究分析沪港通前后各个因素影响程度的变化,从而找到导致AH股溢价进一步扩大的因素。通过筛选,本文选取了沪港通标的中AH交叉上市的公司44家,利用2012年1月1日到2017年3月1日的月度数据,从主要因素的角度选取了各个因素的代理变量:流通股比率、相对换手率、收益率波动比率、公司总股本、振幅比率、远期汇率变化率,建立完整样本期、沪港通之前、沪港通之后三个面板数据模型,并使用Eviews进行回归分析和对比。本文的创新之处在于:在前人研究的基础上,加入行为金融学对AH股溢价进行分析,并选择股票振幅作为代表变量,这在之前的研究中是比较少见的;同时沪港通是中国资本市场对外开放的重要一步,相关的现有研究较少,并且研究方法多是依靠加入虚拟变量构建模型。本文将样本时期分成两段,分别验证沪港通前后各个因素的变化情况,从动态的角度分析沪港通如何影响各个因素。本文首先对完整的样本期的数据建立面板数据模型进行分析。实证结果显示,流动性存在的差异、信息不对称程度上的差异、风险偏好的不同、投资者投机行为程度的不同、汇率因素是影响AH股溢价的主要因素,需求弹性差异影响不明显。随后,在全样本期模型的基础上,分别建立沪港通开通之前和沪港通开通之后两个面板数据模型,进行回归分析并比对每个影响因素的回归系数变化情况。实证结果表明,沪港通开通后,A股投机程度加大是导致AH股溢价率上升的主要原因;人民币汇率的贬值预期可以解释AH股溢价在沪港通之后"不减反增"的现象;沪港通开通之后,虽然流动性差异的影响依旧存在,但是沪港通在很大程度上改善了港股的流动性;两地股票市场的互联互通也伴随着风险的互相传导。最后,本文结合实证研究结果与股票市场的现状,提出了树立正确投资理念,改善投资者结构;完善发行制度,拓宽投资渠道;审慎放松投资限制,严格把控市场风险等三点缩小AH股溢价、完善股票市场的政策性建议。
[Abstract]:There is a unique phenomenon of AH premium in China's stock market for a long time, and with the opening of the Shanghai Stock Connect, the premium level further increases, which is not in line with expectations and is thought-provoking.On the basis of summing up the domestic and foreign scholars' research on the problem of "different prices of the same shares", this paper begins with the factors that affect the premium of AH shares, and combines the differences between the A-share market and the H-share market in China.The main factors influencing the price difference of AH stock are put forward: the difference of demand elasticity, the difference of liquidity, the asymmetry of information, the difference of attitude towards risk, the difference of investor's speculative behavior, and the difference of exchange rate system.Through the empirical analysis of the influence degree of each factor before and after the Stock Connect between Shanghai and Hong Kong, we can find out the factors that lead to the further expansion of AH premium.Through screening, this paper selects 44 Chinese AH cross-listed companies listed in Shanghai Stock Connect, using the monthly data from January 1, 2012 to March 1, 2017, and selects the proxy variables of each factor from the angle of main factors: the ratio of circulating shares.Relative turnover rate, rate of return volatility, total share capital, amplitude ratio, forward exchange rate change rate, set up complete sample period, before Stock Connect, after Stock Connect three panel data model, and use Eviews regression analysis and comparison.The innovations of this paper are as follows: on the basis of previous studies, we add behavioral finance to analyze the AH share premium, and select the stock amplitude as the representative variable, which is relatively rare in previous studies;At the same time, the Stock Connect between Shanghai and Hong Kong is an important step of opening up to the outside world of Chinese capital market.This paper divides the sample period into two sections, verifies the changes of each factor before and after the Stock Connect, and analyzes how the Shanghai Stock Connect affects each factor from the dynamic point of view.Firstly, the panel data model of complete sample period is analyzed in this paper.The empirical results show that there are differences in liquidity, information asymmetry, risk preference and speculative behavior of investors. The exchange rate is the main factor affecting the AH premium.The difference of demand elasticity is not obvious.Then, on the basis of the model of the whole sample period, two panel data models were established before and after the opening of the Stock Connect respectively, and the regression analysis was carried out to compare the change of the regression coefficient of each influencing factor.The empirical results show that after the opening of Shanghai Stock Connect, the increase of A share speculation is the main reason for the rise of premium rate of AH shares, and the expectation of depreciation of RMB exchange rate can explain the phenomenon of "not decreasing but increasing" of AH premium after the Stock Connect between Shanghai and Hong Kong.After the opening of the Stock Connect, although the influence of liquidity difference still exists, the Stock Connect of Shanghai and Hong Kong has greatly improved the liquidity of Hong Kong stocks, and the interconnection of the two stock markets is accompanied by the transmission of risks.Finally, according to the results of empirical research and the current situation of stock market, this paper puts forward to establish a correct investment concept, improve the structure of investors, improve the issuance system, broaden investment channels, and prudently relax investment restrictions.Strictly control market risk and other three points to reduce AH premium, improve the stock market policy recommendations.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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