【摘要】：同一上市公司在不同市場(chǎng)上市,由于公司基本面一致,所賦予股票的股權(quán)相同,具有相同的現(xiàn)金流和風(fēng)險(xiǎn)系數(shù),根據(jù)一價(jià)定律,公司股票的價(jià)格也應(yīng)該相同,即“同股同權(quán)同價(jià)”。然而在現(xiàn)實(shí)中,同一公司在不同資本市場(chǎng)上的股票價(jià)格卻有差異。這是國(guó)際資本市場(chǎng)上普遍存在的一種現(xiàn)象。本文研究A股、H股市場(chǎng)“同股同權(quán)不同價(jià)”的現(xiàn)象。 本文在充分分析國(guó)內(nèi)外學(xué)者提出的各種理論的基礎(chǔ)上,借鑒國(guó)內(nèi)外學(xué)者已有的研究方法,選取2009年1月至2011年6月期間我國(guó)45家A股、H股雙重上市公司做為樣本,通過(guò)建立面板數(shù)據(jù)模型研究A股對(duì)H股溢價(jià)的因素。通過(guò)實(shí)證分析,本文得到以下結(jié)論：(1)A股、H股市場(chǎng)之間存在明顯的市場(chǎng)分割,但這種市場(chǎng)分割現(xiàn)象在逐年減弱甚至消除,表現(xiàn)為A股相對(duì)H股的溢價(jià)率在樣本期間內(nèi)逐漸減小。(2)本文發(fā)現(xiàn)通過(guò)聚類(lèi)對(duì)樣本同異質(zhì)性進(jìn)行檢驗(yàn)是行之有效的辦法,即先對(duì)樣本進(jìn)行聚類(lèi)分析,將樣本分為高溢價(jià)率類(lèi)和低溢價(jià)率類(lèi),在分類(lèi)之后再分別對(duì)每類(lèi)樣本進(jìn)行擬合。(3)信息不對(duì)稱(chēng)差異、流動(dòng)性差異、需求差異是A股、H股價(jià)格差異的影響因素,但投資理念差異對(duì)低溢價(jià)率和高溢價(jià)率的影響都不顯著,不是A股、H股價(jià)格差異的影響因素,這與以前學(xué)者的研究結(jié)論不同。(4)低溢價(jià)率類(lèi)樣本中信息不對(duì)稱(chēng)差異對(duì)A股、H股溢價(jià)率的影響為負(fù),這一結(jié)論與國(guó)內(nèi)外學(xué)者對(duì)低溢價(jià)率類(lèi)股票影響的結(jié)論相一致。然而在高溢價(jià)率類(lèi)中,信息不對(duì)稱(chēng)差異對(duì)A股、H股溢價(jià)率的影響為正,這與以前學(xué)者的研究結(jié)論不同。 根據(jù)研究結(jié)論,本文最后提了一些政策建議：加強(qiáng)和規(guī)范信息披露制度,提高信息披露透明度和力度；加快金融創(chuàng)新,增加市場(chǎng)廣度；引導(dǎo)資金雙向流動(dòng),建立套利機(jī)制；增加機(jī)構(gòu)投資者,降低A股市場(chǎng)的投機(jī)程度等。
[Abstract]:When the same listed company is listed in different markets, because the company has the same fundamentals, the shares are given the same shares and have the same cash flow and risk coefficient, according to the law of one price, the stock price of the company should also be the same. That is, "the same share of the same right and equal price." In reality, however, there are differences in the stock prices of the same company in different capital markets. This is a common phenomenon on the international capital market. In this paper, A-share, H-share market "same shares with different prices" phenomenon. Based on the full analysis of various theories put forward by domestic and foreign scholars and drawing on the existing research methods of domestic and foreign scholars, this paper selects 45 A-shares from January 2009 to June 2011 as samples. Through the establishment of panel data model to study A-share to H shares premium factors. Through empirical analysis, the following conclusions are obtained: (1) there are obvious market segmentation between A-share and H-share markets, but this market segmentation phenomenon is weakened or even eliminated year by year. It is shown that the premium rate of A shares to H shares gradually decreases during the sample period. (2) this paper finds that it is an effective method to test the homogeneity of samples by clustering, that is, to cluster the samples first. The samples are divided into high premium rate category and low premium rate category. After classification, each sample is fitted separately. (3) Information asymmetry difference, liquidity difference and demand difference are the influencing factors of A-share and H-share price difference. However, the difference of investment idea has no significant effect on the low premium rate and high premium rate, not the influence factor of the price difference of A shares and H shares. This is different from previous research conclusions. (4) the effect of asymmetric information on A-share and H-share premium rate is negative in the sample of low premium rate, which is consistent with the conclusion of domestic and foreign scholars on the influence of low premium rate stock. However, in the category of high premium rate, the information asymmetry difference has a positive effect on the premium rate of A shares and H shares, which is different from previous studies. According to the conclusion of the study, this paper finally puts forward some policy suggestions: strengthening and standardizing the information disclosure system, improving the transparency and intensity of information disclosure, speeding up financial innovation, increasing the market breadth, guiding the two-way flow of funds and establishing arbitrage mechanism; Increase institutional investors, reduce the degree of speculation in the A-share market.
【學(xué)位授予單位】：江西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F224;F832.51

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本文編號(hào)：2190190