本文選題：滬港通 + AH股溢價(jià)水平��； 參考：《華中師范大學(xué)》2017年碩士論文

【摘要】：2014年11月17日,滬港通的開通實(shí)現(xiàn)了上海和香港股票市場的雙向開放,2016年8月17日,深港股票市場交易互聯(lián)互通機(jī)制正式獲批。隨著我國資本市場開放進(jìn)程不斷加速,內(nèi)地和香港市場股價(jià)差異問題受到越來越多的關(guān)注。從整體上看,以往研究主要集中在對傳統(tǒng)的市場分割理論的擴(kuò)展和實(shí)證檢驗(yàn),對投資者情緒這一影響因素的研究還較少。從現(xiàn)實(shí)意義上來看,研究AH股溢價(jià)水平影響因素不僅有利于引導(dǎo)投資者做出合理的投資決策,而且有利于促進(jìn)我國資本市場開放。因此,本文結(jié)合當(dāng)前滬港通政策背景,利用封閉式基金折價(jià)率對投資者情緒進(jìn)行度量,試圖從政策、制度、市場、行業(yè)以及投資者情緒等方面多角度分析AH股溢價(jià)的影響因素,并在模型中引入投資者情緒指標(biāo),對AH股溢價(jià)提供了新的理論解釋。本文選取2008年1月日1至2016年12月31日期間25家AH股雙重上市公司的44975組面板數(shù)據(jù),選用隨機(jī)效應(yīng)模型,采用不含個(gè)體效應(yīng)的可行廣義最小二乘法(FGLS)進(jìn)行估計(jì),實(shí)證分析政策、制度、市場、行業(yè)和投資者行為因素對AH股溢價(jià)水平影響的顯著水平。實(shí)證結(jié)果表明:A股對H股存在較為明顯的溢價(jià),且溢價(jià)水平整體偏高。其中制度因素、市場因素以及行業(yè)因素對AH股溢價(jià)水平的影響較為顯著。而由于額度限制和市場非理性波動(dòng),政策因素對AH股溢價(jià)水平的影響并不顯著,投資者情緒指標(biāo)也因?yàn)榉忾]式基金集體到期轉(zhuǎn)型而沒有通過顯著性檢驗(yàn)�；诶碚摲治龊蛯�(shí)證檢驗(yàn)結(jié)果,本文提出如下建議:1.進(jìn)一步完善“滬港通”和“深港通”等互聯(lián)互通機(jī)制;2.建立完善的套利機(jī)制;3.全面加強(qiáng)資本市場的監(jiān)管,并保證市場監(jiān)管身份單一和職能明確。當(dāng)前我國資本項(xiàng)目還有待進(jìn)一步放開,兩地市場在市場結(jié)構(gòu)、交易制度和投資者行為偏好方面還存在較大差異,在這種情況下,AH股溢價(jià)仍會(huì)長期存在。所以,將AH股溢價(jià)水平控制在合理范圍之內(nèi),將有助于提高金融市場的穩(wěn)定性和平衡性,有效提高資源的配置效率,讓資本市場更好地服務(wù)于實(shí)體經(jīng)濟(jì)發(fā)展,同時(shí)也有利于香港進(jìn)一步發(fā)揮全球金融中心的重要作用。
[Abstract]:On November 17, 2014, the opening of the Stock Connect between Shanghai and Hong Kong realized the two-way opening of the stock market in Shanghai and Hong Kong. On August 17, 2016, the trading connectivity mechanism of the Shenzhen-Hong Kong stock market was formally approved. With the acceleration of China's capital market opening process, more and more attention has been paid to the stock price difference between the mainland and Hong Kong markets. On the whole, the previous studies mainly focus on the expansion and empirical test of the traditional market segmentation theory, but the research on the influence factor of investor sentiment is still less. From a realistic point of view, studying the influencing factors of AH premium level is not only conducive to guiding investors to make reasonable investment decisions, but also conducive to promoting the opening of China's capital market. Therefore, based on the background of the current Stock Connect policy, this paper uses the discount rate of closed-end funds to measure investor sentiment, and tries to analyze the influencing factors of AH premium from the aspects of policy, institution, market, industry and investor sentiment. This paper introduces investor sentiment index into the model and provides a new theoretical explanation for AH share premium. From January 1, 2008 to December 31, 2016, this paper selects 44975 sets of panel data from 25 dual-listed AH companies, chooses random effect model, uses the feasible generalized least square method without individual effect to estimate, and analyzes the policy empirically. The significant effect of institutional, market, industry and investor behavioral factors on AH premium levels. The empirical results show that A shares have a significant premium to H shares, and the premium level is on the high side. Institutional factors, market factors and industry factors have a significant impact on AH premium level. However, due to the limitation of quota and irrational fluctuation of market, the influence of policy factors on AH premium level is not significant, and the index of investor sentiment has not passed the significance test because of the collective maturity transition of closed-end funds. Based on the theoretical analysis and empirical test results, this paper puts forward the following suggestion: 1. We will further improve the connectivity mechanisms such as the Shanghai-Hong Kong Stock Connect and the Shenzhen-Hong Kong Stock Connect. Establish a perfect arbitrage mechanism. To strengthen the supervision of the capital market, and to ensure that the status of market regulation is single and clear. At present, China's capital account needs to be further liberalized, and there are still great differences in market structure, trading system and investors' behavior preference between the two markets. In this case, the premium of AH shares will still exist for a long time. Therefore, controlling the AH premium level within a reasonable range will help to improve the stability and balance of the financial market, effectively improve the efficiency of resource allocation, and enable the capital market to better serve the development of the real economy. At the same time, it is also conducive to Hong Kong's further development of the important role of the global financial center.
【學(xué)位授予單位】：華中師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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