交叉上市的市场反应:中国A股和H股市场的实证研究
发布时间：2018-08-29 14:04
【摘要】：随着经济全球化的发展，越来越多的企业选择跨境上市的方式进行融资，交叉上市现象也更加普遍。国外学者对交叉上市时的市场反应做过研究，并提出了相应的理论去解释。但在中国，关于H股上市公司到A股交叉上市事件对H股市场的影响的研究还很少。并且，由于中国市场与国外市场特点的不同，国外的理论假说也不适用于中国市场。 本文通过事件研究法对以下三个事件研究了H股的市场反应：1）H股上市公司第一次公告建议发行A股；2）H股上市公司的A股发行申请获得中国证监会正式批准；3）H股上市公司首次发行A股上市。通过研究发现，只有在H股公司的A股发行申请获得中国证监会批准时，市场才有超额收益。这与国外市场的研究结论显著不同。并且，通过将样本分为央企和非央企两组公司，发现非央企的超额收益比央企显著要大。 将样本进行回归分析发现，H股公司所期望的A股发行价相对H股的溢价与A股相对发行规模是影响H股市场反应的主要原因。这揭示出H股的市场反应是基于A股的发行溢价能够带来H股内在价值的提升，而非交叉上市能够给企业本身带来实际的改善。这相当于损害国内A股投资者的利益来提升H股投资者的利益。对此，，从监管角度考虑，本文提出应当改进H股公司在A股的发行与定价机制，保护国内投资者的权益。
[Abstract]:With the development of economic globalization, more and more enterprises choose cross-border listing for financing, cross-listing phenomenon is more common. Foreign scholars have studied the market reaction of cross-listing, and put forward the corresponding theory to explain. However, there are few studies on the impact of H-share cross-listing on H-share market in China. Moreover, because of the difference between Chinese market and foreign market, the theoretical hypothesis of foreign countries is not applicable to Chinese market. This paper studies the market reaction of H shares to the following three events by the method of event research: 1) the first announcement of H shares listed companies suggests issuing A shares / 2) the application for A share issuance of H shares listed companies has been formally approved by CSRC; 3) A-share listing of H-share listed companies. According to the research, the market has excess returns only if the A-share issuance application of H shares is approved by the CSRC. This is significantly different from the research results of foreign markets. Moreover, by dividing the sample into two groups of companies, it is found that the excess income of non-central enterprises is significantly larger than that of central enterprises. The regression analysis shows that the premium of A-share price to H-share and the relative size of A-share are the main reasons that influence the reaction of H-share market. This reveals that the market response of H shares is that the premium of issuing A shares can bring about the enhancement of intrinsic value of H shares, but not cross listing can bring real improvement to the enterprises themselves. This is equivalent to damaging the interests of domestic A-share investors to enhance the interests of H-share investors. From the perspective of supervision, this paper puts forward that we should improve the issuing and pricing mechanism of H shares in A shares to protect the rights and interests of domestic investors.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51
本文编号：2211426
[Abstract]:With the development of economic globalization, more and more enterprises choose cross-border listing for financing, cross-listing phenomenon is more common. Foreign scholars have studied the market reaction of cross-listing, and put forward the corresponding theory to explain. However, there are few studies on the impact of H-share cross-listing on H-share market in China. Moreover, because of the difference between Chinese market and foreign market, the theoretical hypothesis of foreign countries is not applicable to Chinese market. This paper studies the market reaction of H shares to the following three events by the method of event research: 1) the first announcement of H shares listed companies suggests issuing A shares / 2) the application for A share issuance of H shares listed companies has been formally approved by CSRC; 3) A-share listing of H-share listed companies. According to the research, the market has excess returns only if the A-share issuance application of H shares is approved by the CSRC. This is significantly different from the research results of foreign markets. Moreover, by dividing the sample into two groups of companies, it is found that the excess income of non-central enterprises is significantly larger than that of central enterprises. The regression analysis shows that the premium of A-share price to H-share and the relative size of A-share are the main reasons that influence the reaction of H-share market. This reveals that the market response of H shares is that the premium of issuing A shares can bring about the enhancement of intrinsic value of H shares, but not cross listing can bring real improvement to the enterprises themselves. This is equivalent to damaging the interests of domestic A-share investors to enhance the interests of H-share investors. From the perspective of supervision, this paper puts forward that we should improve the issuing and pricing mechanism of H shares in A shares to protect the rights and interests of domestic investors.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51
【参考文献】
相关期刊论文 前3条
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2 胡章宏;王晓坤;;中国上市公司A股和H股价差的实证研究[J];经济研究;2008年04期
3 陈国进;王景;;我国公司A+H交叉上市的溢出效应分析[J];南开管理评论;2007年04期
本文编号：2211426
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