A股、H股市场：哪一个更擅长理解中国公司

发布时间：2018-01-30 07:14

本文关键词： A股 H股信息效率多地上市　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文通过研究A股市场和H股市场对于中国企业财务信息的不同反应,得出两个市场在对中国企业定价上存在的差异以及造成这些差异的原因。首先,本文介绍了多地上市以及中国的股票市场的概况。由于世界正在变得密不可分,多地上市已经成为很多企业融资的选择之一,而中国又是一个极其特殊的市场,分成三个板块A、B和H股板块。对于中国企业,该选择哪个板块上市,各个板块又有什么特点,都是需要回答的问题。本文就是要通过研究A、H股市场之间的差异,试图去解答这些问题。在介绍完中国股票市场概况之后,本文回顾了目前对于市场间联系与差异的一些研究。总的来时,这些研究分为三类,第一类主要研究关联性有多大,第二类试图了解某一个市场是否对其他市场具有引导作用,最后一类研究的是前两类研究结果背后的原因。本文属于第二类和第三类,既研究A股市场和H股市场之间的关系,也研究这种关系背后的原因。在确定本文主要研究的对象之后,本文提出了研究模型的假设及所要使用的研究方法,即事件研究法。主要的模型是线性回归,其中引入了由影响因素(市场虚拟变量、市场流动性、市值、投资者结构)和超常收益组成的交叉项,以此来研究因素造成的影响和影响的大小。在决定假设、变量和模型后,本文对所使用的数据进行描述性统计,得出,几乎所有变量在两地之间均有显著不同,并且呈现一定的发展趋势。在流动性方面,A股市场拥有相对较大的交易量,并且这种趋势还在继续；投资者结构方面,H股市场在流通股方面拥有更高的机构比例,但是A股市场的相对流通股比例正在上升；在市值方面,两地采用相同的数据,差异主要表现在公司之间。在描述性统计之后,本文利用开头介绍的模型对数据进行回归分析,得出回归结果。回归结果显示,两个地区之间确实存在对于统一信息的反应有差异,相对来讲,A股市场能更准确地理解中国企业发出的信息,而H股市场这方面的能力相对较差。将总差异分解来看,一部分这样的差异被解释为先天性的,由于A股市场的特殊位置,对于中国境内的企业来讲,A股市场具有一定的优认知势。其次,机构投资者在流通股中所占比例实际上在帮助H股市场缩小这种认知能力上的差距。而流动性这个因素在帮助A股市场增加这种能力的差距。在对结果进行初步分析之后,本文又对模型的有效性进行了分析,并对模型进行逐步回归修正,修整后的模型结果和之前的模型结果一致。文章最后,对于本文的局限性及未来科研的方向做出了阐述。
[Abstract]:This paper studies the different reactions of the A-share market and the H-share market to the financial information of Chinese enterprises, and finds out the differences between the two markets in the pricing of Chinese enterprises and the reasons for these differences. This paper introduces the general situation of multi-listing and Chinese stock market. As the world is becoming inseparable, multi-listing has become one of the financing options for many enterprises, and China is a very special market. For Chinese enterprises, which plate should be listed, and what are the characteristics of each plate, are the questions that need to be answered. This article is to study A. After introducing the general situation of Chinese stock market, this paper reviews some studies on the relationship and difference between markets. These studies can be divided into three categories, the first is how relevant the main research is, and the second is trying to understand whether one market has a leading role in other markets. The last type of research is the reasons behind the first two types of research results. This paper belongs to the second and third categories, both the A-share market and the H-share market. After determining the main research object of this paper, this paper puts forward the hypothesis of the research model and the research method to be used, that is, the event research method. The main model is linear regression. This paper introduces a cross term composed of influencing factors (market virtual variables, market liquidity, market value, investor structure) and abnormal returns to study the impact of factors and the size of the impact. After the variables and the model, this paper carries on the descriptive statistics to the data used, draws the conclusion that almost all the variables are significantly different between the two places, and show a certain trend of development, in terms of liquidity. A-share market has a relatively large volume of trading, and this trend continues; In terms of investor structure, the H share market has a higher institutional ratio in circulating shares, but the ratio of relative outstanding shares in the A share market is rising. In market value's case, the two places use the same data, the difference is mainly between companies. After descriptive statistics, this paper uses the model introduced in the beginning to carry out regression analysis of the data. The regression results show that there is a difference in the response to unified information between the two regions. Relatively speaking, A share market can understand the information issued by Chinese enterprises more accurately. The H-share market is relatively poor in this respect. When the total difference is decomposed, some of these differences are interpreted as congenital, because of the special position of the A-share market, for the enterprises in China. A-share market has a certain cognitive potential. Secondly. The proportion of institutional investors in outstanding shares is actually helping the H share market to narrow this cognitive gap. Liquidity is a factor that helps the A share market to increase the gap in this ability. After the analysis. In this paper, the validity of the model is analyzed, and the model is modified by stepwise regression. The results of the modified model are consistent with those of the previous model. The limitations of this paper and the direction of scientific research in the future are expounded.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F275

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