A、H股协整关系与价格发现功能研究

发布时间：2018-03-04 13:27

本文选题：交叉上市　切入点：价格发现　出处：《湖南大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着越来越多的国内企业在香港市场发行H股股票， A+H‖的股票发行方式愈加普遍，两地市场的股票价格问题成为许多学者关注的重要研究领域。价格发现和价格信息是金融市场最主要的功能和产品，如何评价两个市场的价格发现功能？如何测度两个市场产生的价格信息的市场份额？这些相关研究对市场参与者和市场监管者具有重要的现实意义。本文以同时在A股和H股市场上市的股票为研究对象，采用理论和实证研究相结合的方法，应用共同因子模型和市场信息份额模型分析比较了A、H股市场的价格发现功能。本文首先根据已有文献归纳总结了股票市场价格发现功能的影响因素理论，并结合上述理论说明了A、H股市场在发行上市制度、交易机制和投资者构成三方面的差异对其价格发现功能的影响。然后，从理论上分析了共同因子模型和市场信息份额模型，考察了A、H股的协整关系对两个模型的估计结果的影响，并对两个模型进行了变量变换及估计结果修正。最后，，在考虑了股权结构、股本流通情况和股本比例等因素之后，选取六家 A+H‖交叉上市公司作为研究样本，应用共同因子模型和市场信息份额模型实证分析了A、H股市场的价格发现功能。本文研究发现，共同因子模型的估计结果受A、H股票价格的协整关系的影响，而市场信息份额模型的估计结果则不受其影响；将调整后的共同因子模型和市场信息份额模型应用到实证研究中，发现两个市场的价格发现贡献度大致相等，并结合价格发现功能影响因素理论及A、H股市场实际情况，从市场微观结构差异、市场分割、母国效应和全球中心说等方面综合解释了这一实证结果。
[Abstract]:As more and more domestic enterprises issue H-shares in the Hong Kong market, the issuance of A-H shares is becoming more and more common. Price discovery and price information are the most important functions and products of the financial market. How to evaluate the price discovery function of the two markets? How to measure the market share of the price information generated by the two markets? These relevant studies have important practical significance for market participants and market regulators. This paper takes the stocks listed in the A-share and H-share markets as the research objects, and adopts the method of combining theoretical and empirical research. The common factor model and market information share model are used to analyze and compare the price discovery function of A and H shares. Combined with the above theories, the paper explains the influence of the differences in the issuing and listing system, the trading mechanism and the investor composition on the price discovery function of the A and H shares market. Then, the common factor model and the market information share model are analyzed theoretically. The influence of co-integration relation of A and H shares on the estimation results of the two models is investigated, and the variables transformation and estimation result correction of the two models are carried out. Finally, after taking into account the equity structure, the circulation of equity capital and the proportion of capital stock, etc. Taking six A-H cross-listed companies as the research samples, the paper empirically analyzes the price discovery function of A and H shares market by using common factor model and market information share model. In this paper, it is found that the estimation results of the common factor model are influenced by the cointegration relationship of AHH stock price, but the estimation results of the market information share model are not affected by the co-integration relationship. Applying the adjusted common factor model and market information share model to the empirical research, it is found that the contribution of price discovery in the two markets is approximately equal, and combined with the theory of influencing factors of price discovery function and the actual situation of A and H shares market, The empirical results are explained comprehensively from market microstructure differences, market segmentation, home country effect and global center theory.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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