發(fā)布時間：2018-04-10 04:26

  本文選題：滬港通　切入點：兩地上市公司　出處：《暨南大學》2017年碩士論文

【摘要】：AH兩地上市公司股票存在價差的問題在我國由來已久,許多學者一致認為大陸香港兩地市場分割,資本流通受到限制導致套利者無法通過套利消除此種差異是AH兩地上市公司股票存在價差的主要原因。2014年11月17日,備受矚目的“滬港通”政策在這一天正式實施,“滬港通”政策允許大陸和香港的合格投資者互相買賣規(guī)定范圍內(nèi)的股票,滬港兩地上市的股票均在規(guī)定范圍之內(nèi)�！皽弁ā闭叩膶嵤┨岣吡藘�(nèi)地股市的有效性,是我國資本市場進一步開放的重要舉措。本文基于倍差法,運用AH兩地上市公司的股票和財務(wù)數(shù)據(jù),通過對兩地相對CAR和價差變化的研究,旨在探究“滬港通”政策實施的影響效果。滬港兩地上市的公司股票因在滬港通開通后可互相交易被稱為實驗組,而深港兩地上市公司的股票在政策實施后不可進行交易而成為天然的控制組。通過實證研究,本文發(fā)現(xiàn):(1)滬港通實施日使得實驗組的兩地相對CAR比控制組的低約3%;(2)由于A股通常相對于H股溢價,實驗組公司兩地相對CAR的減小的主要原因是H股的CAR增大了;(3)“滬港通”政策在宣告日對AH兩地上市公司股票價格并未產(chǎn)生顯著的影響效應(yīng),因此資本融通是使得“滬港通”政策產(chǎn)生影響的最主要因素。
[Abstract]:There has been a long history of the spread between the shares of listed companies in AH and Hong Kong. Many scholars agree that the mainland and Hong Kong markets are divided.Restrictions on capital flows have prevented arbitrageurs from eliminating such differences through arbitrage, which is the main reason why there is a spread in the prices of AH dual-listed companies. On November 17, 2014, the high-profile "Stock Connect" policy was officially implemented.The Shanghai-Hong Kong Stock Connect policy allows qualified investors from mainland China and Hong Kong to buy and sell each other's shares within specified limits.The implementation of the "Stock Connect between Shanghai and Hong Kong" policy has improved the effectiveness of the mainland stock market and is an important measure for the further opening of China's capital market.Based on the double difference method and using the stock and financial data of AH listed companies, this paper aims to explore the effect of the implementation of the "Stock Connect between Shanghai and Hong Kong" policy through the study of the relative CAR and the variation of the price difference between the two places.After the opening of the Stock Connect between Shanghai and Hong Kong, the shares of the listed companies in Shanghai and Hong Kong can be called the experimental group, while the shares of the companies listed in Shenzhen and Hong Kong cannot be traded after the implementation of the policy and become the natural control group.Through empirical research, we find that the day of implementation of the Stock Connect between Shanghai and Hong Kong makes the relative CAR of the experimental group about 3 / 2 lower than that of the control group) because A shares are usually at a premium to H shares.The main reason for the decrease of CAR in the two places of the experimental group is that the CAR of H shares increases) the "Stock Connect" policy of Shanghai and Hong Kong does not have a significant effect on the stock price of the two listed companies on the date of announcement.Therefore, capital financing is the most important factor that causes the policy of Stock Connect between Shanghai and Hong Kong.
【學位授予單位】：暨南大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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本文編號：1729672