發(fā)布時(shí)間：2018-02-13 19:12

  本文關(guān)鍵詞： AH股價(jià)差 滬港通 信息不對(duì)稱 流動(dòng)性差異 公司規(guī)模　出處：《首都經(jīng)濟(jì)貿(mào)易大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著滬港通的開通,大陸市場(chǎng)與香港市場(chǎng)的聯(lián)系日益緊密,資金流動(dòng)更加頻繁,提高了兩地市場(chǎng)的開放水平。但是,我國(guó)雙重上市公司的AH股價(jià)差一直存在。區(qū)別于其他市場(chǎng),我國(guó)A股價(jià)格要高于H股價(jià)格,即內(nèi)資股溢價(jià),這被稱為“中國(guó)股市之謎”。而滬港通是否會(huì)對(duì)價(jià)差產(chǎn)生影響,要從多個(gè)方面綜合衡量。為了對(duì)這一現(xiàn)象進(jìn)行深入地研究,本文首先對(duì)研究背景、研究?jī)?nèi)容及方法進(jìn)行了概述,之后從三個(gè)方面對(duì)影響AH股價(jià)差的因素進(jìn)行了文獻(xiàn)綜述,接下來介紹了A股市場(chǎng)、H股市場(chǎng)的發(fā)展概況,由于兩地市場(chǎng)制度和交易制度的差異,AH股價(jià)差產(chǎn)生。隨后,文章闡述了滬港通的由來、交易概況以及對(duì)AH股價(jià)差造成的影響。在接下來的章節(jié)中,本文開始進(jìn)行實(shí)證分析。實(shí)證部分以86家雙重上市公司2012年3月5日至2016年9月30日的月度交易數(shù)據(jù)作為樣本數(shù)據(jù),選取AH股價(jià)差作為被解釋變量,把滬港通設(shè)置為虛擬變量并作為解釋變量,控制變量包括信息不對(duì)稱、流動(dòng)性差異、需求彈性、風(fēng)險(xiǎn)偏好、系統(tǒng)風(fēng)險(xiǎn)等五個(gè)市場(chǎng)因素,公司規(guī)模、投資者結(jié)構(gòu)等兩個(gè)公司因素。運(yùn)用stata軟件將面板數(shù)據(jù)進(jìn)行回歸,結(jié)果表明滬港通對(duì)AH股價(jià)差有顯著的正向影響。隨后將股票分為滬港通標(biāo)的股與非標(biāo)的股兩組,再分別進(jìn)行回歸發(fā)現(xiàn),滬港通對(duì)其價(jià)差也都有顯著的正向影響。這與預(yù)期假設(shè)的符號(hào)相反,可能是因?yàn)闇�港通刺激了A股市場(chǎng),導(dǎo)致AH股價(jià)差擴(kuò)大。同時(shí),信息不對(duì)稱、流動(dòng)性差異、公司規(guī)模也是影響AH股價(jià)差的重要因素。最后,本文根據(jù)實(shí)證研究結(jié)果提出了相應(yīng)的政策建議,主要內(nèi)容包括:拓寬投資渠道,促進(jìn)資本市場(chǎng)開放;加強(qiáng)信息監(jiān)管,健全信息披露制度;加快金融創(chuàng)新,豐富金融產(chǎn)品類別;加強(qiáng)投資教育,培養(yǎng)理性投資觀念;轉(zhuǎn)變投資方式,增加機(jī)構(gòu)投資者比例。
[Abstract]:With the opening of the Stock Connect between Shanghai and Hong Kong, the mainland market and the Hong Kong market have become increasingly closely linked, and the capital flows have become more frequent, raising the level of opening up of the two markets. However, the gap in AH stock prices of the dual-listed companies in China has always existed. It is different from other markets. The price of A shares in China is higher than the price of H shares, that is, the premium of domestic shares, which is called "the mystery of the Chinese stock market." whether the Stock Connect of Shanghai and Hong Kong will have an impact on the spread of prices should be comprehensively measured from many aspects. In order to conduct a thorough study of this phenomenon, This paper first summarizes the research background, research contents and methods, then summarizes the factors affecting the AH stock price difference from three aspects, and then introduces the development of A-share market and H-share market. As a result of the difference between the two market systems and the trading system, the difference of AH stock price is produced. Then, the origin of the Stock Connect between Shanghai and Hong Kong, the general situation of the transaction and the influence on the AH stock price difference are described. In the following chapters, The empirical part takes 86 dual-listed companies' monthly transaction data from March 5th 2012 to September 30th 2016 as the sample data, and selects the AH stock price difference as the explained variable. Shanghai Stock Connect is set up as a virtual variable and used as an explanatory variable. The control variables include information asymmetry, liquidity differences, demand elasticity, risk preference, system risk, and company size. Using stata software to regression the panel data, the results show that Stock Connect has a significant positive impact on the AH stock price difference. Then, the stock is divided into two groups: Shanghai Stock Connect shares and non-listed shares. By regression analysis, we find that the Stock Connect also has a significant positive effect on the spread of its price. This is contrary to the expected assumption. This may be because the Stock Connect stimulates the A-share market, resulting in the widening of the AH stock price gap. At the same time, the information is asymmetrical. The difference of liquidity and the size of the company are also the important factors affecting the AH stock price difference. Finally, according to the empirical research results, this paper puts forward the corresponding policy recommendations, including: widening the investment channels, promoting the opening of the capital market; Strengthen information supervision, perfect information disclosure system, accelerate financial innovation, enrich financial product category, strengthen investment education, train rational investment concept, change investment mode and increase the proportion of institutional investors.
【學(xué)位授予單位】：首都經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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本文編號(hào)：1508896