本文選題：AH股 + 信息傳遞��； 參考：《復(fù)旦大學(xué)》2012年碩士論文

【摘要】：國內(nèi)外學(xué)者對于分割市場上股票表現(xiàn)的聯(lián)系進(jìn)行了大量的研究。而在香港股票市場和內(nèi)地股票市場同時(shí)上市的AH股,由于這兩個(gè)市場之間聯(lián)系的特殊性而成為很好的研究標(biāo)的。這方面的研究成果有效地促進(jìn)了兩地AH股回歸合理定價(jià),并且能夠?yàn)橄嚓P(guān)政策的制定與實(shí)施提供理論支持。 與以往對AH股兩市信息傳遞的研究不同,本文選取從1998年至2010年總共十三年的日數(shù)據(jù)進(jìn)行檢測,增加了檢驗(yàn)結(jié)果的說服力。另外,本文從指數(shù)和個(gè)股兩個(gè)方面來考慮兩市股價(jià)的聯(lián)系,并且得出指數(shù)層面與個(gè)股層面不盡相同的結(jié)論。 本文首先通過統(tǒng)計(jì)學(xué)上的協(xié)整檢驗(yàn)和因果關(guān)系檢驗(yàn)來挖掘兩市指數(shù)和AH股個(gè)股在1998年初至2010年底這個(gè)時(shí)間段內(nèi)股價(jià)相聯(lián)系的特征,同時(shí)考慮了在股權(quán)分置改革后,這些關(guān)系的變化。并對這種聯(lián)系提供理論上的解釋。接著,本文通過對AH股中H股的日均折價(jià)率狀況和引起因素進(jìn)行分析,發(fā)現(xiàn)折價(jià)率的波動(dòng)性在不同的時(shí)間段呈現(xiàn)不同的特征。根據(jù)波動(dòng)性的不同,本文將時(shí)間區(qū)間分成四個(gè)時(shí)間段。最后,本文根據(jù)以上分析的結(jié)果對每個(gè)時(shí)間段內(nèi)的AH股兩市股價(jià)的協(xié)整性和因果關(guān)系進(jìn)行檢驗(yàn),將其與折價(jià)率的波動(dòng)性相聯(lián)系,并對這種聯(lián)系做出解釋。本文所使用的軟件是Eviews,協(xié)整檢驗(yàn)和因果關(guān)系檢驗(yàn)分別使用Johansen協(xié)整檢驗(yàn)法和Granger因果檢驗(yàn)法。 結(jié)果表明,1998年至2010年這十三年中,從指數(shù)的角度來看,股市信息流主要是從A股市場傳向H股市場,也即A股股價(jià)引導(dǎo)H股股價(jià),特別是在股權(quán)分置改革之后,這種信息傳遞更加明顯。而從AH股個(gè)股的角度來看,多數(shù)股票的信息流是由H股市場流向A股市場,也即H股股價(jià)引導(dǎo)A股股價(jià)。另外在折價(jià)率波動(dòng)性較大的時(shí)間段內(nèi),AH股兩市價(jià)格的協(xié)整性也較強(qiáng)。反之在折價(jià)率波動(dòng)性較小的時(shí)間段內(nèi),兩市價(jià)格之間的協(xié)整性也較小。
[Abstract]:Scholars at home and abroad have done a lot of research on the relationship between the performance of stocks in the segmentation market. AH shares, which are listed in both the Hong Kong stock market and the mainland stock market, have become a good research subject because of the particularity of the connection between the two markets. The results of this study can effectively promote the return of AH shares to reasonable pricing and provide theoretical support for the formulation and implementation of relevant policies. Different from the previous studies on the information transmission between the two markets of AH shares, this paper selects a total of 13 years of daily data from 1998 to 2010 to carry out the test, which increases the persuasiveness of the test results. In addition, this paper considers the relationship between the stock price of the two markets from the index and the stock, and draws the conclusion that the index level is different from the stock level. In this paper, we first use the cointegration test and causality test to explore the characteristics of the relationship between the two stock indexes and AH stocks during the period from the beginning of 1998 to the end of 2010. At the same time, we consider that after the split share structure reform, The changes in these relationships. And provide a theoretical explanation for this connection. Then, through the analysis of the daily average discount rate of H shares in AH shares and the causes, it is found that the volatility of the discount rate presents different characteristics in different time periods. According to the different volatility, this paper divides the time interval into four periods. Finally, this paper tests the cointegration and causality of AH stock price in each time period according to the results of above analysis, and makes an explanation of this connection to the volatility of discount rate. The software used in this paper is Eview, cointegration test and causality test using Johansen cointegration test and Granger causality test, respectively. The results show that in the 13 years from 1998 to 2010, from the perspective of the index, the information flow of the stock market is mainly transmitted from the A-share market to the H-share market, that is, the A-share price leads to the H share price, especially after the split share structure reform. This kind of information transmission is more obvious. From the perspective of individual AH shares, the information flow of most stocks flows from the H-share market to the A-share market, that is, the H-share price guides the A-share price. In addition, there is a strong cointegration between AH and AH prices in the period of high volatility of discount rate. On the other hand, the cointegration between the two markets is smaller in the period of low volatility of discount rate.
【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(hào)】：F832.51;F224

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