【作者】 缪莹；

【导师】 吴明礼；

【作者基本信息】 南京财经大学 ， 会计学， 2008， 硕士

【摘要】 我国股票市场已经经历了十多年的发展历程,规模不断壮大,对国民经济的作用不断增强。但由于体制和制度设计的原因,股票市场的分割现象十分严重。同一市场上同时存在A股、B股和H股,同一股票却表现出不同价格,B、H股相对A股都有不同程度的折价。国内外学者对我国外资股折价这一独特现象做了大量的研究。但是都集中于对B股折价的研究,对H股折价的理论和实证方面的研究十分缺乏。本文从分析我国股票市场的基本结构角度出发,解释市场分割的概念并阐述其在国际市场和中国市场上的表现。应用计量经济学和股票市场微观结构等理论和方法,从信息不对称、流动性差异、分散化效应、需求弹性差异、风险规避程度差异等多方面对我国H股折价进行了深入的理论分析。并通过变量设计,建立多个模型对各个影响因素进行了实证检验,以探究造成H股相对于A股折价的主要因素。基于日数据的实证研究的结果表明信息不对称、分散化效应、需求弹性差异、规模因素和风险程度指标等是影响我国H股折价的主要因素。然而随着我国资本市场制度的不断完善并逐渐与国际规则接轨,信息不对称因素、分散化效应、需求弹性对H股折价的影响将会越来越小,而规模因素、风险程度将会产生长期的作用。在我国证券市场逐步开放的预期下,本文根据理论分析和实证检验的结果,提出了对策和建议:一是要改善信息不对称状况;二是要改善内地证券市场上股票的供求关系;三是从风险规避的角度,引导A股市场的理性投资,逐步培养理性投资的市场氛围。更多还原

【Abstract】 With its greater impact on economy, China’s ever-larging stock market has been in process for over ten years. For institutional reasons, market segmentation has been a hot issue in China: The stock market consists of A-share, B-share and H-share simultaneously, with varying prices. B-share and H-share are at discount. Foreign and domestic researchers have done a large amount research on this unique phenomenon of discount of foreign class share of our country. But the research almost concentrated on B-share discount. H-share has received little attention both on theoretic study and empirical study.After an analysis of basic stock market structure in China, this text explains what market segmentation is and its behavior in both international and domestic markets. This thesis uses the theories of the econometrics and microstructure of stock markets, analyze H-share discount theoretically from information asymmetry, liquidity effect, diversification benefit, demand elasticity, risk choice degree and exchange rate risk, etc. Cross-sectional model and panel model is constructed to examine each influence factor in order to probe into to the main factors causing H-shares discount. The result based on empirical test of diurnal data shows: information asymmetry, decentralized effect, demand elasticity difference, scale factor,index of the risk intensity are the main factors of H-share discount. However, the constant completion with the system of capital market in our country and integration with the international system progressively, the impact on H-share discount of information asymmetry, decentralized effect and demand elasticity difference will be smaller and smaller. But scale factor, risk intensity will produce long-term function.Under the expectancy of security market opens progressively, according to the conclusions of theoretical analysis and empirical study, the thesis offers following suggestions: First, improve information asymmetry; Second, Improve the supply-demand relationship of the stock on the inland security market; Third, lead A-share investors to invest reasoningly, and cultivate market atmosphere of rational investment.更多还原