我国上市公司A＋H股双重上市的价格行为研究

【作者】 刘斐斐；

【导师】 邓超；

【作者基本信息】 中南大学 ， 金融学， 2007， 硕士

【摘要】 A+H股双重上市公司股票价格在两个市场存在的巨大差异,意味着两个市场间的套利行为受到极大限制,也说明A、H股市场存在着严重的市场分割。资本市场分割会阻碍国际投资,限制企业的融资渠道,影响企业的发展,延缓资本市场的国际化进程。根据双重上市公司股票价格的表现来推测股票市场分割的形式和变化趋势,进而研究消除分割的方法具有重大的政策意义。本文利用Johansen协整检验、Granger因果检验、预测方差分解和脉冲响应等多种方法首先对内地A股市场和香港市场的主要指数进行市场分割的实证研究,发现两个市场之间存在一定的分割,在B股开放之前市场分割现象严重,随后的B股向境内投资者开放、H股股指期货的推出及股权分置改革促进了两市场的整合。且两个市场都对A+H股双重上市公司股票价格发现起了一定的作用,但股改前后两市场的主导地位对不同的股票有所变化。市场之间的联动关系在不断调整。股改后的格兰杰因果检验的结果更加显著。其次重点对A+H股双重上市公司股票的价格序列进行了实证研究,并建立VECM模型研究了双重上市公司股票的价格行为,发现有部分股票的A股和H股的价格之间存在协整关系,两个市场间的价格互动关系明显;并且有部分股票在股改后开始出现H股溢价的现象,这与学术上被称为“中国股票市场之谜”的中国外资股折价现象不同。这说明了A股市场和H股市场的联系逐渐加深。更多还原

【Abstract】 When a stock is listed in both A-shares market and H-shares market in China, there is a price gap between the two markets. It means arbitrage is limited and there is heavy market segmentation in these markets. Capital market segmentation may obstruct the international investment, restrict the way of the corporation financing, disturb the companies’ development, and postpone the corporations’ internationalization. We can use the price behavior of the A+H cross-listed stocks to explore the form and the trend of the market segmentation to study the methods to avoid the segmentation.First, this paper uses some empirical methods to test the A and H markets indexes and A+ H cross-listed stocks, such as: the Johansen Cointegration Tests, Granger Causality Tests, Variance Decompositions, and Impluse Response. By this empirical research, I find there is segmentation between the Mainland and the Hong Kong markets. However, B shares has been opened to the mainland investors while H-shares indexes has been introduced. Besides, the reform on equity segmentation has been taken off. All these actions enhanced the correlation between the A-shares market and H-shares market. At the same time, both markets contribute to price discovery, but the depth of the effect is different after the reform on the equity segmentation. The correlation of the two markets is adjusted gradually. And after the reform on the equity segmentation, the Granger Causality test seems more significant.Then we can estimate an error correction model (ECM) to study the behavior of the A+H cross-listed stocks. I find there are several shares which listed in the both market have certain correlation, and the correlation significantly enhanced. And price premium has occurred on several H-shares. It is different from the price discount of foreign shares called "the puzzle of the Chinese capital market". It also indicates that the correlation between the two markets is deeper and deeper.更多还原