發(fā)布時(shí)間：2018-03-27 18:08

  本文選題：跨境上市　切入點(diǎn)：溢出效應(yīng)　出處：《復(fù)旦大學(xué)》2012年碩士論文

【摘要】：本文研究跨境上市公司的股票在不同市場間的溢出效應(yīng),以及溢出效應(yīng)的傳導(dǎo)機(jī)制。研究對象針對中國海外上市企業(yè),研究樣本為同時(shí)在中國香港和美國上市的中國大陸企業(yè)。 本文提出了五個(gè)假設(shè),一是在香港和美國市場間存在明顯的溢出效應(yīng)；二是溢出效應(yīng)存在明顯的主次之分,由美國向香港市場傳導(dǎo)；三是溢出效應(yīng)表現(xiàn)為動(dòng)量效應(yīng)；四是溢出效應(yīng)強(qiáng)度與信息不對稱程度正相關(guān)；五是香港市場投資風(fēng)格相對于美國市場投機(jī)性更強(qiáng)。 本文采用的實(shí)證研究方法是LMSW模型、兩步回歸分析。第一步回歸對本國市場股票收益率和海外市場股票收益率分別作交叉時(shí)間序列分析,剔除系統(tǒng)性波動(dòng)影響,分析溢出效應(yīng)強(qiáng)弱和方向。第二步回歸采用橫截面分析,將第一步回歸得到的溢出效應(yīng)系數(shù)對信息不對稱程度代理變量做回歸,進(jìn)一步考察溢出效應(yīng)與信息不對稱程度之間的關(guān)系。 實(shí)證研究結(jié)果分析中,對溢出效應(yīng)系數(shù)作t檢驗(yàn)和顯著性水平分析,并按企業(yè)市值分組對溢出效應(yīng)強(qiáng)度與信息不對稱程度相關(guān)性作顯著性水平分析。 本文的研究結(jié)論是：兩地上市的中國企業(yè)在香港市場和美國市場之間存在溢出效應(yīng)并且表現(xiàn)為從美國市場向香港市場傳導(dǎo)的動(dòng)量效應(yīng)；而兩地資本市場間的信息不對稱程度越高,溢出效應(yīng)越強(qiáng)；對于公司來說,跨境上市帶來的不利影響在于公司股價(jià)會(huì)因?yàn)橐绯鲂?yīng)的存在,而波動(dòng)更劇烈,公司的市值不易控制；同時(shí)還帶來一些額外的成本,如：為適應(yīng)不同監(jiān)管體制而增加的成本、會(huì)計(jì)制度差異帶來的運(yùn)營成本、信息披露的差異帶來的成本和不同投資者訴求帶來的成本等。
[Abstract]:In this paper, the spillover effect of cross-border listed companies in different markets and the transmission mechanism of spillover effects are studied. The subjects of this study are Chinese mainland companies listed in Hong Kong and the United States at the same time. This paper puts forward five hypotheses, one is that there is obvious spillover effect between Hong Kong and American market, the other is that the spillover effect is divided into primary and secondary, and the spillover effect is transmitted from the United States to Hong Kong market, the third is that the spillover effect is momentum effect. The fourth is that the intensity of spillover effect is positively related to the degree of information asymmetry, and the fifth is that the investment style of Hong Kong market is more speculative than that of the United States market. The empirical research method used in this paper is LMSW model, two-step regression analysis. The second step regression adopts cross section analysis, and the spillover effect coefficient obtained by the first step regression is regressed to the agent variable of information asymmetry degree. Further study the relationship between spillover effect and the degree of information asymmetry. In the empirical analysis, t test and significant level analysis are made on the spillover effect coefficient, and significant level analysis is made on the correlation between the spillover effect intensity and the degree of information asymmetry according to the group of enterprises market value. The conclusions of this paper are as follows: there is spillover effect between Hong Kong and American market and the momentum effect from American market to Hong Kong market; The higher the degree of information asymmetry between the two capital markets, the stronger the spillover effect. For a company, the adverse effect of cross-border listing is that the share price of the company will fluctuate more violently because of the spillover effect. Market value of the company is not easy to control; at the same time, there are some additional costs, such as increased costs to adapt to different regulatory systems, and operating costs of accounting system differences. The cost brought by the difference of information disclosure and the cost brought by different investors' demands.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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