中国证券市场A、B股价格差异研究

发布时间：2018-02-01 21:39

本文关键词： 市场分割 B股折价投资者主体差异面板数据　出处：《浙江大学》2013年硕士论文　论文类型：学位论文

【摘要】：在复杂的历史背景下诞生、发展、壮大的中国证券市场,以其二十年的发展史和20万亿人民币的市值规模正在引起世人关注。而在其迅速发展的过程中也遗留下了这样那样的历史问题。B股市场作为问题之一,迫切等待管理层的妥善处理。对于B股市场的投资者来说最关心的莫过于B股的折价问题以及B股市场未来的最终去向。为了找寻B股折价的真正原因以及尝试得到A、B股合并的可行性,本文在前人研究的基础上,通过对B股各种折价理论的分析归类,取样最近八年35家沪市上市公司、34家深市上市公司资料数据,建立相应的多元回归方程式。通过面板数据的回归分析,得出流动性差异、需求弹性差异、投资理念差异、利率差、投资者主体等因素对A、B股的价格差异产生显著影响的结论。本文认为,投资者主体差异是导致A、B股的价格差异的极为重要的因素,因此特别提出。同时,在本文的撰写过程中,B股的去向问题也出现了新的进展。回购、转向发行H股、转向发行A股、直接转成A股、退市,成为了新的B股归宿。希望在不久的将来,我们就可以看到B股这样一个历史的产物通过某种方式重新获得他新的生命。
[Abstract]:In the complex historical background, the birth, development, and expansion of China's securities market. With its development history of 20 years and market value scale of 20 tillion RMB, the world is paying close attention to it. In the course of its rapid development, it has left behind one kind of historical problem. B share market is one of the problems. It is urgent to wait for the proper management to deal with. Investors in the B share market are most concerned about the discount of B shares and the future direction of the B share market. In order to find the real reason for the discount of B shares and try to get A. On the basis of previous studies, this paper analyzes and classifies the discount theory of B-shares, and samples the data of 34 Shenzhen listed companies in 35 Shanghai Stock Exchange companies in the last eight years. Through the regression analysis of panel data, the factors of liquidity difference, demand elasticity difference, investment concept difference, interest rate difference, investor main body and so on are obtained. This paper holds that the investor main body difference is the most important factor leading to the price difference of A and B shares. At the same time, in the writing process of this paper, the problem of the direction of B shares has also made new progress. Repurchase, to issue H shares, to issue A shares, directly to A shares, delisting. Hope in the near future, we can see the product of a history of B share to regain his new life in some way.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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