新形势下AH股溢价影响因素研究

发布时间：2018-06-18 15:24

本文选题：A、H股价差 + 沪港通　；参考：《浙江大学》2017年硕士论文

【摘要】：二十世纪八十年代以来,经济学家们研究市场分割现象发现同一资产在不同市场的定价存在着一定的差异。不同市场间由于法律限制、政策制度、交易成本等市场客观因素所导致的"硬分割"以及信息不对称、投资者偏好、需求差异等主观因素所产生的"软分割"被认为是资本定价差异的主要来源。研究发现,国内投资者受到外资所有权等各方面条件的限制,外资股通常比国内股票定价更高以平衡国内投资者的利益,然而中国的情况却是一个例外。在中国,外资股相对国内股票普遍存在折价的现象,主要有三方面的影响因素:一是传统市场分割理论因素,二是市场其他因素,三是QDⅡ政策、融资融券政策以及沪港通机制等可能削弱市场分割理论的因素。本文通过建立实证模型对影响A、H股溢价的因素进行了深入的探究和分析。首先,根据国内外相关的研究文献,确定可能造成A股溢价的因素,并提出相关理论假说。然后,选取相应的代理变量建立实证模型,以A、H股双重上市公司的股票作为样本,运用2006年至2015年的年度数据以及2013年至2016年的月度数据检验并分析各类因素对A、H股溢价的影响程度。实证结果显示,四大传统市场分割因素至今仍对H股折价有一定的解释力度,其他市场因素也对H股折价有显著影响。融资融券政策在一定程度上缩小了 AH股价差。QDⅡ政策由于规模相对较小,未能起到预期削弱香港和内地市场分割的作用。不同行业的沪港通标的股票对AH股价差有不同的影响。本文最后也为我国完善市场定价机制,推动A、H股价格理性回归提出了一定的政策建议。
[Abstract]:Since 1980s, economists have studied the phenomenon of market segmentation and found that there are certain differences in the pricing of the same assets in different markets. The "hard segmentation" caused by the objective factors of different markets, such as legal restrictions, policy systems, transaction costs and other market factors, is subjective and subjective. The "soft segmentation" produced by the factors is considered to be the main source of the difference in capital pricing. It is found that domestic investors are restricted by all aspects of foreign capital ownership and other conditions, and foreign shares are usually higher than domestic stocks to balance the interests of domestic investors. However, the situation in China is an exception. In China, foreign shares are relatively domestic. There are three main factors of discount in the stock market: one is the traditional market segmentation theory, the two is the other market factors, the three is the QD II policy, the financing margin policy and the Shanghai and Hong Kong link mechanism may weaken the market segmentation theory. This paper has built an empirical model on the factors affecting the A and H-share premium. First, according to the relevant research literature at home and abroad, the factors that may cause the A share premium are determined and the relevant theoretical hypothesis is put forward. Then, the corresponding proxy variables are selected to establish an empirical model, and the stock of the dual listed companies of A and H-shares are taken as samples, and the annual data from 2006 to 2015 and 2013 to 2016 are used. The monthly data test and analyze the impact of various factors on the A and H-share premium. The empirical results show that the four major traditional market segmentation factors still have some explanation for the H-share discount and the other market factors have a significant impact on the H-share discount. The policy of margin financing narrowed the AH price difference.QD II policy in a certain range. The model is relatively small and can not play a role in weakening the segmentation of the Hongkong and mainland markets. The Shanghai and Hong Kong stocks in different industries have different effects on the AH stock price difference. Finally, this paper also puts forward some policy suggestions for improving the market pricing mechanism, promoting the rational return of A and H share price in China.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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