【摘要】：全球經(jīng)濟(jì)的飛速發(fā)展,為企業(yè)的成長(zhǎng)壯大帶來(lái)了一個(gè)絕佳的機(jī)遇,單一的資本市場(chǎng)已無(wú)法滿足企業(yè)對(duì)資本的強(qiáng)烈需求。為了同時(shí)利用國(guó)內(nèi)外多個(gè)資本市場(chǎng)的資源進(jìn)行融資,交叉上市成為企業(yè)一種重要的融資方式。在這樣的背景下,中國(guó)內(nèi)地企業(yè),尤其是一些實(shí)力雄厚的國(guó)企不能滿足于境內(nèi)的資本市場(chǎng),紛紛選擇到境外上市,而香港由于其獨(dú)特的地理位置和成熟完善的資本市場(chǎng)環(huán)境成為內(nèi)地企業(yè)交叉上市的主流趨勢(shì)所向。 資本市場(chǎng)之間存在分割狀態(tài),因此造成交叉上市公司在不同市場(chǎng)上的股票價(jià)格產(chǎn)生差異。在中國(guó),從第一家實(shí)現(xiàn)香港、內(nèi)地交叉上市的公司開(kāi)始,兩個(gè)市場(chǎng)的股票價(jià)格就一直存在差異。從本質(zhì)上講,同一家公司的股票擁有相同的權(quán)利和義務(wù),不應(yīng)該表現(xiàn)出差異。但在分割的資本市場(chǎng),價(jià)差的存在有一定的合理性。內(nèi)地、香港資本市場(chǎng)存在嚴(yán)重的市場(chǎng)分割,因此出現(xiàn)了內(nèi)地企業(yè)在A股、H股交叉上市的價(jià)差現(xiàn)象。價(jià)差的存在使公司的價(jià)值不能合理在市場(chǎng)中表現(xiàn)出來(lái),如何消除價(jià)差是學(xué)者和相關(guān)監(jiān)管部門都十分關(guān)注的問(wèn)題。為了消除價(jià)差,必須對(duì)影響價(jià)差的因素進(jìn)行深入的研究。 論文以在A股、H股交叉上市公司的股票價(jià)格為研究對(duì)象,基于市場(chǎng)分割理論,對(duì)A股、H股價(jià)差的影響因素進(jìn)行全面分析。在影響因素分析部分論文考慮了流動(dòng)性、需求彈性、信息不對(duì)稱、投資者風(fēng)險(xiǎn)偏好、股權(quán)分置改革和公司所屬行業(yè)特征因素,以此設(shè)計(jì)相應(yīng)的替代變量并提出研究假設(shè),然后通過(guò)建立多元回歸模型對(duì)論文的假設(shè)進(jìn)行實(shí)證檢驗(yàn)。實(shí)證結(jié)果顯示,流動(dòng)性、需求彈性和信息不對(duì)稱因素對(duì)A股和H股的股價(jià)差有顯著的影響,與論文原假設(shè)一致；而股權(quán)分置改革和投資者風(fēng)險(xiǎn)偏好對(duì)價(jià)差的影響則不太顯著,與論文原假設(shè)不一致。在實(shí)證分析部分,對(duì)論文的實(shí)證結(jié)果逐一進(jìn)行解釋。最后根據(jù)論文的研究結(jié)果提出一些政策建議和未來(lái)的研究方向。
[Abstract]:The rapid development of the global economy has brought an excellent opportunity for the growth of enterprises. A single capital market can no longer meet the strong demand for capital. In order to make use of the resources of many capital markets at home and abroad, cross-listing has become an important financing method for enterprises. Against this background, mainland Chinese enterprises, especially some powerful state-owned enterprises, which cannot be satisfied with the domestic capital market, have chosen to list overseas one after another. Due to its unique geographical location and mature capital market environment, Hong Kong has become the mainstream trend of cross-listing of mainland enterprises. There is a split state between the capital markets, which results in the difference of the stock prices of cross-listed companies in different markets. In China, stock prices have been different between the two markets since the first cross-listed company in Hong Kong and mainland China. Essentially, shares of the same company have the same rights and obligations and should not show differences. But in the split capital market, the existence of the spread has certain rationality. There is a serious market segmentation in the capital market of mainland and Hong Kong, so there is the spread of price difference between mainland enterprises in A shares and H shares. The existence of the price difference makes the value of the company unreasonable in the market. How to eliminate the price difference is a problem that scholars and relevant regulatory departments pay close attention to. In order to eliminate the spread, the factors affecting the spread must be deeply studied. Based on the theory of market segmentation, this paper makes a comprehensive analysis of the influencing factors of the price difference between A shares and H shares in the cross-listed companies of A shares and H shares. In the part of influencing factor analysis, the paper considers liquidity, demand elasticity, information asymmetry, investor risk preference, split share structure reform and industry characteristics of the company, so as to design the corresponding alternative variables and put forward the research hypothesis. Then the hypothesis of the thesis is tested by establishing multiple regression model. The empirical results show that liquidity, demand elasticity and information asymmetry have significant effects on the stock price difference between A shares and H shares, which is consistent with the original hypothesis of the paper, while the influence of the split share structure reform and investor risk preference on the price difference is not significant. It is inconsistent with the original hypothesis of the paper. In the part of empirical analysis, the empirical results are explained one by one. Finally, according to the results of the paper, some policy suggestions and future research directions are put forward.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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本文編號(hào)：2226967