本文選題：價(jià)格差異 + 聚類(lèi)分析��； 參考：《東北財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：對(duì)于A股、H股價(jià)格差異問(wèn)題,本文以國(guó)外學(xué)者與國(guó)內(nèi)學(xué)者的研究成果為基礎(chǔ),選取了較為全面完善的解釋變量,研究了2010年7月到2012年12月期間,我國(guó)50家上市公司的A股、H股價(jià)格差異情況。 研究?jī)r(jià)格差異原因之前,首先利用了Granger因果關(guān)系證明了A股、H股兩個(gè)市場(chǎng)分割的存在。價(jià)格差異影響因素的探究中,設(shè)計(jì)了兩個(gè)模型,一個(gè)是多元截面模型,另一個(gè)是面板數(shù)據(jù)的固定效應(yīng)變系數(shù)模型。第一個(gè)模型采用了最小二乘法進(jìn)行回歸計(jì)算,第二個(gè)模型采用了各個(gè)截面殘差的方差為權(quán)重的廣義最小二乘法進(jìn)行回歸計(jì)算。與此同時(shí),對(duì)于數(shù)據(jù)還進(jìn)行了聚分類(lèi),分為低溢價(jià)率與高溢價(jià)率兩類(lèi)。在一系列的回歸檢驗(yàn)與修正的過(guò)程后,得到了如下結(jié)論： 1.在多元截面回歸模型中,無(wú)論是低溢價(jià)率樣本還是高溢價(jià)率樣本,衡量信息不對(duì)稱(chēng)的變量SIZE都與溢價(jià)率成負(fù)比例關(guān)系,并且結(jié)果顯著；衡量需求彈性差異的變量RS都與溢價(jià)率成負(fù)比例關(guān)系,并且結(jié)果顯著；衡量投資者理念差異的EPS都與溢價(jià)率成負(fù)比例關(guān)系,并且結(jié)果顯著。 2.在固定效應(yīng)的變系數(shù)面板數(shù)據(jù)模型中,衡量信息不對(duì)稱(chēng)的變量AIE對(duì)于高溢價(jià)率樣本的影響顯著為負(fù),與預(yù)期相符,但是對(duì)于低溢價(jià)率樣本的影響不顯著,同時(shí)方向不明確；衡量流動(dòng)性差異的變量RL對(duì)于低溢價(jià)率樣本的影響基本顯著為負(fù),基本與預(yù)期相符。對(duì)于高溢價(jià)率樣本的影響全部顯著,且基本為負(fù),基本與預(yù)期相符；衡量投資者理念差異的RV雖然對(duì)于低溢價(jià)率樣本的影響顯著為負(fù),基本與預(yù)期相符,但是對(duì)于高溢價(jià)率樣本的影響基本為負(fù),與預(yù)期基本相符,可是同時(shí)結(jié)果不顯著。 根據(jù)實(shí)證結(jié)果,本文最后提出了一些建議,如加強(qiáng)信息披露,增強(qiáng)H股流動(dòng)性,引導(dǎo)A股投資者理性投資,加快金融創(chuàng)新,建立套利機(jī)制等。
[Abstract]:On the basis of the research results of foreign scholars and domestic scholars, this paper selects a more comprehensive and perfect explanatory variable on the basis of the research results of foreign scholars and domestic scholars, and studies the A shares of 50 listed companies in China and the difference of H-share prices between July 2010 and December 2012.
Before studying the reason of the price difference, first, we use the Granger causality to prove the existence of A shares and H-share two market segments. In the inquiry of the factors affecting the price difference, two models are designed, one is the multi section model, the other is the fixed effect variable series model of panel data. The first model is carried out by the least square method. In the regression calculation, the second model uses the generalized least square method of the variance of the variance of each section to carry out the regression calculation. At the same time, the data are classified into two categories: low premium rate and high premium rate. After a series of regression tests and amendments, the following conclusions are obtained.
1. in the multiple cross section regression model, both the low premium rate sample and the high premium rate sample, the variable SIZE of information asymmetry is negatively proportional to the premium rate, and the result is significant. The variable RS for measuring the elasticity of demand elasticity is negatively proportional to the premium rate, and the result is significant; the EPS of the investor concept difference is measured. Both are negatively proportional to the premium rate, and the results are significant.
2. in the fixed effect variable coefficient panel data model, the influence of the variable AIE on the high premium rate samples is significantly negative, which is consistent with the expectation, but the impact on the low premium rate samples is not significant and the direction is not clear. The influence of the variable RL on the low premium rate is basically significant Negative and basically consistent with expectations. The impact on high premium rate samples is all significant and basically negative, basically consistent with expectations. Although the impact of investor concept differences on the low premium rate samples is significantly negative, the RV is basically consistent with expectations, but the impact on high premium rate samples is basically negative, but basically consistent with expectations, but At the same time, the results were not significant.
According to the empirical results, some suggestions are put forward at the end of this paper, such as strengthening information disclosure, enhancing the liquidity of H-share, guiding A investors to invest rationally, speeding up financial innovation and establishing arbitrage mechanism.

【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(lèi)號(hào)】：F224;F832.51

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