本文關(guān)鍵詞： 交叉上市 股價(jià)差異 市場(chǎng)分割 面板模型　出處：《東北財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著20世紀(jì)末國(guó)際資本市場(chǎng)的形成和發(fā)展,資本市場(chǎng)在區(qū)域經(jīng)濟(jì)活動(dòng)中扮演的重要角色擴(kuò)展至全球經(jīng)濟(jì)活動(dòng)。一方面是國(guó)際資本進(jìn)行跨國(guó)投資,在全球范圍內(nèi)尋找投資機(jī)會(huì)；一方面是原有的融資活動(dòng)突破地域限制,主動(dòng)尋求國(guó)際資金,企業(yè)境外上市便是途徑之一。隨著境外上市條件的成熟,出現(xiàn)了很多企業(yè)同時(shí)在本地交易所和境外交易所上市的情況,即所謂的交叉上市。我國(guó)企業(yè)的交叉上市現(xiàn)象最早可追溯至20世紀(jì)90年代,以青島啤酒、廣船國(guó)際、上海石化等為代表的制造業(yè)類國(guó)企掀起了境外上市的浪潮。隨后這些在港上市的H股企業(yè)又開(kāi)始回歸A股在內(nèi)地上市,形成了所謂的“A+H”交叉上市,甚至是“A+H+N”交叉上市。 對(duì)于交叉上市公司的研究,學(xué)者們最為關(guān)注的是“同股不同價(jià)”的現(xiàn)象,即同一家公司的股票在不同的市場(chǎng)上價(jià)格不同,卻享有同樣的權(quán)利。我國(guó)交叉上市公司普遍表現(xiàn)出A股對(duì)H股的高溢價(jià),2010年之前,較多公司的A股股·價(jià)是H股的5-6倍(甚至還要高),2010年之后溢價(jià)幅度降低。相比于國(guó)際上比較常見(jiàn)的境外股價(jià)高于境內(nèi)股價(jià)的現(xiàn)象,研究我國(guó)“A+H”交叉上市公司A股和H股的價(jià)格差異具有特殊的意義。同時(shí),隨著我國(guó)相關(guān)政策的放開(kāi),對(duì)于兩地市場(chǎng)上股價(jià)差異的研究有著較大的實(shí)踐意義。首先,有利于企業(yè)在赴境外上市前了解境內(nèi)外市場(chǎng)的差異并進(jìn)行合理定價(jià)順利融資；其次,促進(jìn)A股市場(chǎng)上的投資者合理看待境外發(fā)行上市的公司回歸A股市場(chǎng),從而進(jìn)行合理估值和做出合理的投資決策；再者,能夠提供一定的政策思路,使A股市場(chǎng)發(fā)展更加完善,早日發(fā)展成為國(guó)際上有影響力的資本市場(chǎng)。 本文首先考察AH股溢價(jià)指數(shù)的歷史變化情況,發(fā)現(xiàn)近年來(lái)AH股溢價(jià)指數(shù)整體趨于變小,說(shuō)明AH股偏差過(guò)大的情況有所緩解,兩地市場(chǎng)上投資者對(duì)于同一資產(chǎn)的估值差距在縮小,兩個(gè)市場(chǎng)之間的分割性在逐漸減弱、聯(lián)系在逐漸增強(qiáng)。接著對(duì)2010年以來(lái)AH股差異情況分行業(yè)進(jìn)行了討論,發(fā)現(xiàn)金融保險(xiǎn)類“A+H”上市公司整體出現(xiàn)A股相對(duì)于H股折價(jià),而且行業(yè)內(nèi)各公司AH股價(jià)差異程度比較一致。我們認(rèn)為,香港市場(chǎng)上的投資者對(duì)我國(guó)金融保險(xiǎn)類的企業(yè)普遍看好,加上穩(wěn)定的業(yè)績(jī)和公開(kāi)透明的信息使得境外市場(chǎng)上的投資者給出相對(duì)較高的估值。 本文實(shí)證分為兩個(gè)部分：—是考察不同市場(chǎng)中同一公司股票價(jià)格之間關(guān)系。通過(guò)協(xié)整檢驗(yàn)和Granger因果檢驗(yàn)得出,兩者之間確實(shí)存在長(zhǎng)期均衡的關(guān)系,且H股相對(duì)A股處于領(lǐng)先地位,N股相對(duì)H股處于領(lǐng)先地位。二是從市場(chǎng)分割的角度探究影響AH股價(jià)差異的因素。選取信息不對(duì)稱、流動(dòng)性差異、需求彈性差異、所在市場(chǎng)影響差異等方面因素,采用模板數(shù)據(jù)模型作分析。同時(shí),作為對(duì)比研究,我們也對(duì)樣本不多的“A+H+N"交叉上市公司的H股和N股價(jià)關(guān)系和影響其差異的因素做了實(shí)證研究。得出的結(jié)論是,流動(dòng)性差異和需求彈性差異對(duì)于AH股價(jià)差異有一定的解釋力,而信息不對(duì)稱和風(fēng)險(xiǎn)偏好差異難以對(duì)AH股價(jià)差異進(jìn)行解釋。HN股價(jià)差異則主要受上市所在地的影響,風(fēng)險(xiǎn)偏好差異有一定的解釋力。 最后,針對(duì)實(shí)證研究的結(jié)果,本文認(rèn)為影響股價(jià)差異的根源在于內(nèi)地市場(chǎng)與香港市場(chǎng)甚至是國(guó)際市場(chǎng)之間存在較大程度的軟分割,國(guó)內(nèi)缺乏多元化的投資渠道、投資者沒(méi)有較好的投資理念、市場(chǎng)制度方面也存在著不足之處。為了在市場(chǎng)硬分割逐步解除之后,避免國(guó)內(nèi)市場(chǎng)受到較大的沖擊,本文提出當(dāng)前要加快建設(shè)多層次資本市場(chǎng)體系、拓展投資渠道,建立市場(chǎng)之間的互動(dòng)套利機(jī)制,加強(qiáng)我國(guó)資本市場(chǎng)制度的建設(shè),改善與國(guó)際市場(chǎng)的分割狀況。
[Abstract]:With the formation and development of the international capital market at the end of the 20th century , the important role played by the capital market in the regional economic activities is extended to the global economic activity . On the one hand , the international capital carries on the transnational investment , seeks the investment opportunity in the global scope . With the mature of the overseas listing conditions , the cross - listing phenomenon of Chinese enterprises can be traced back to the overseas listing of the overseas listing . For cross - listed companies , scholars pay close attention to the phenomenon of " the same share price " , that is , the shares of the same company are different in price in different markets , but enjoy the same rights . At the same time , with the liberalization of China ' s relevant policies , the price difference between the A + H and H shares of China ' s " A + H " cross - listed company has a special significance . This paper first investigates the historical changes of A H share premium index . It is found that in recent years A H share premium index tends to be smaller , which indicates that the A H share price is too big , the division between the two markets is gradually weakening , and the relationship between the two markets is gradually strengthened . We believe that the investors in the Hong Kong market have generally seen the share of A + H listed company relatively to the H share , and the price difference of each company A H shares in the industry is more consistent . We believe that investors in the Hong Kong market have a relatively high valuation on the investors in the overseas markets . This paper is divided into two parts : the relationship between the stock price of the same company in different markets . Finally , aiming at the result of the empirical research , this paper believes that the root cause of the difference of stock price is that there is a large degree of soft segmentation between the mainland market and the Hong Kong market and even the international market . In order to avoid the great impact on the domestic market after the hard segmentation of the market gradually releases , this paper puts forward that we should speed up the construction of the multi - level capital market system , expand the investment channel , establish the interactive arbitrage mechanism between the markets , strengthen the construction of our capital market system , and improve the segmentation status with the international market .

【學(xué)位授予單位】：東北財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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本文編號(hào)：1543189