本文選題：深港通 + AH股價(jià)差��； 參考：《集美大學(xué)》2017年碩士論文

【摘要】：我國(guó)資本市場(chǎng)中雙重上市公司股票A+H股“同股不同價(jià)”的現(xiàn)象已經(jīng)存在很長(zhǎng)時(shí)間了。產(chǎn)生這種現(xiàn)象的根本原因是A股市場(chǎng)較為封閉,與H股市場(chǎng)呈分割狀態(tài)。為了改善兩地市場(chǎng)分割的現(xiàn)狀,深化中國(guó)資本市場(chǎng)的開放進(jìn)程,兩地證券監(jiān)管部門聯(lián)合先后推出了滬港通與深港通。其中,深港通作為滬港通的升級(jí)版,完善了兩地互通互聯(lián)的機(jī)制,進(jìn)一步推進(jìn)了中國(guó)境內(nèi)資本市場(chǎng)與國(guó)際接軌。在此背景下,本文旨在研究深港通政策對(duì)AH股價(jià)差的影響。同時(shí),基于新的研究背景總結(jié)分析影響AH股價(jià)差的因素。這對(duì)于境內(nèi)外投資者、相關(guān)監(jiān)管部門都具有現(xiàn)實(shí)意義。本文首先梳理國(guó)內(nèi)外關(guān)于AH股價(jià)差研究的文獻(xiàn)以及關(guān)于滬港通政策對(duì)于AH股價(jià)差影響的文獻(xiàn)。在文獻(xiàn)回顧中整理歸納出的AH股價(jià)差影響因素主要包括流動(dòng)性差異、信息不對(duì)稱、需求彈性差異、風(fēng)險(xiǎn)偏好差異等。隨后本文對(duì)我國(guó)資本市場(chǎng)開放進(jìn)程進(jìn)行梳理,對(duì)深港通交易情況進(jìn)行介紹,并著重對(duì)深港通對(duì)的AH股價(jià)差的影響進(jìn)行理論分析。為了清晰的驗(yàn)證深港通政策效果及影響AH股價(jià)差的關(guān)鍵因素。本文分別從宏觀層面與微觀層面建立市場(chǎng)模型與投資者模型,將深港通政策作為虛擬變量引入模型中,從實(shí)證角度來分析深港通政策對(duì)AH股價(jià)差的具體影響,同時(shí)分析總結(jié)在新背景下影響AH股價(jià)差的宏微觀因素。本文實(shí)證分析結(jié)果顯示,從宏觀角度來看,深港通政策使得AH股價(jià)差略微縮小,這表明未來在深港通政策的影響下,兩地市場(chǎng)聯(lián)系越發(fā)緊密,AH股價(jià)差可能呈縮小的趨勢(shì)。此外,匯率是影響AH股價(jià)差的最重要的宏觀因素。從微觀角度來看,深港通政策對(duì)AH股價(jià)差具有輕微拉大作用。本文認(rèn)為這是由于深港通剛開通不久,兩地投資者熱情較高,尤其是A股市場(chǎng)投機(jī)者較多,導(dǎo)致AH股價(jià)差的略微擴(kuò)大。通過應(yīng)用固定效應(yīng)模型分析,認(rèn)為在深港通背景下,流動(dòng)性差異、信息不對(duì)稱、需求彈性差異依然是AH股價(jià)差的影響因素。對(duì)比滬港通,深港通開通后更有效地改善了兩地的市場(chǎng)分割狀況,上述三個(gè)因素的影響力有所減弱。同時(shí),本文認(rèn)為風(fēng)險(xiǎn)偏好差異不再影響AH股價(jià)差。
[Abstract]:In the capital market of our country, the phenomenon of double-listed companies'A and H shares with different prices has existed for a long time. The root cause of this phenomenon is that A-share market is relatively closed, and H-share market is divided. In order to improve the current situation of market segmentation and deepen the opening process of China's capital market, the securities regulatory authorities of the two places jointly launched the Stock Connect between Shanghai and Hong Kong and the Stock Connect between Shenzhen and Hong Kong. Among them, Shenzhen Stock Connect, as an upgrade version of Shanghai and Hong Kong Stock Connect, has improved the mechanism of interconnection between the two places, and further promoted the domestic capital market in China to connect with the international market. In this context, this paper aims to study the impact of Shenzhen Hong Kong Link policy on the AH stock price gap. At the same time, based on the new research background, the factors affecting the AH stock price difference are summarized and analyzed. This for domestic and foreign investors, relevant regulatory authorities have practical significance. This paper firstly combs the literature about AH stock price difference and the influence of Stock Connect policy on AH stock price difference at home and abroad. The influencing factors of AH stock price difference are summarized in literature review, including liquidity difference, information asymmetry, demand elasticity difference, risk preference difference and so on. Then this paper reviews the process of opening up the capital market in China, introduces the trading situation of Shenzhen Hong Kong Link, and focuses on the theoretical analysis of the influence of Shenzhen Hong Kong Link on the AH stock price difference. In order to clearly verify the effectiveness of Shenzhen Hong Kong Link policy and the key factors affecting the AH stock price gap. This paper establishes the market model and the investor model from the macro level and the micro level, introduces the Shenzhen Hong Kong link policy as the fictitious variable into the model, and analyzes the concrete influence of the Shenzhen Hong Kong link policy on the AH stock price difference from the empirical point of view. At the same time, analyze and summarize the macro and micro factors that affect the AH stock price difference under the new background. The empirical results of this paper show that, from a macro point of view, the Shenzhen-Hong Kong link policy makes the AH stock price gap narrow slightly, which indicates that under the influence of Shenzhen-Hong Kong link policy, the relationship between the two markets is closer and closer, and the AH stock price gap may decrease. In addition, the exchange rate is the most important macro factor affecting the AH stock price difference. From a micro point of view, Shenzhen-Hong Kong Link policy on the AH stock price gap has slightly widened. This is due to the high enthusiasm of investors in Shenzhen and Hong Kong, especially the large number of speculators in the A-share market, resulting in a slight expansion of the AH stock price gap. Through the analysis of fixed effect model, it is concluded that the differences of liquidity, information asymmetry and demand elasticity are still the influencing factors of AH stock price difference under the background of Shenzhen Hong Kong Link. Compared with Shanghai Stock Connect, Shenzhen-Hong Kong Stock Connect has improved the market segmentation more effectively, and the influence of the above three factors has been weakened. At the same time, this paper believes that risk preference differences no longer affect the AH stock price difference.
【學(xué)位授予單位】：集美大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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本文編號(hào)：1921947