本文關(guān)鍵詞：AH孿生股票價(jià)格差異影響因素的定量研究　出處：《上海師范大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 孿生股票 AH股溢價(jià) 市場(chǎng)分割 滬港通 深港通

【摘要】：孿生股票是指同一公司發(fā)行的股票在世界范圍內(nèi)交易,但卻有不同的交易市場(chǎng)和所有者市場(chǎng),其中同一股票具有不同的交易價(jià)格是最主要特征,這一現(xiàn)象被稱為“孿生股票價(jià)差之謎”,它一直是學(xué)術(shù)界關(guān)注的熱點(diǎn)。截止至2016年12月,內(nèi)地和香港市場(chǎng)上已有88家“A+H”上市公司,隨著“滬港通”在2014年11月開(kāi)啟后,相繼“深港通”在2016年12月也已正式開(kāi)啟。本文旨在研究A股H股的價(jià)格差異因素及結(jié)合“滬港通”和“深港通”的開(kāi)啟對(duì)資本市場(chǎng)產(chǎn)生的影響。隨著我國(guó)資本市場(chǎng)的蓬勃發(fā)展,資本市場(chǎng)的未來(lái)越來(lái)越重要,本文綜合股票市場(chǎng)差異和投資主體行為等角度,利用動(dòng)態(tài)面板數(shù)據(jù),分析了中國(guó)雙重上市公司A股和H股股票價(jià)格差異的原因,并且從市場(chǎng)分割入手,研究需求彈性差異、信息不對(duì)稱、流動(dòng)性差異、風(fēng)險(xiǎn)偏好差異、市場(chǎng)因素等對(duì)AH孿生股票價(jià)格差異的影響。結(jié)果發(fā)現(xiàn):信息不對(duì)稱假說(shuō)、需求彈性差異假說(shuō)、流動(dòng)性差異假說(shuō)和風(fēng)險(xiǎn)偏好差異等對(duì)于A、H股價(jià)差異都具有很強(qiáng)的解釋能力。接下來(lái),本文以“滬港通”“深港通”實(shí)施前后作為分段點(diǎn),運(yùn)用格蘭杰因果關(guān)系檢驗(yàn)分階段方法,研究了AH股溢價(jià)變化情況。結(jié)果發(fā)現(xiàn):在“滬港通”獲批前,兩地市場(chǎng)明顯存在比較大的市場(chǎng)分割,而在“滬港通”獲批后,A股H股兩地流動(dòng)明顯增強(qiáng);“深港通”作為建立在“滬港通”政策之后,其政策的穩(wěn)定性和適用性較前者具有較大的提高;政策推出到啟動(dòng)的期間,市場(chǎng)股票間的流動(dòng)更加頻繁;最后在政策開(kāi)啟后,其影響廣度有所降低,表明市場(chǎng)是較理性的。進(jìn)一步,本文在回歸模型當(dāng)中又加入了兩個(gè)虛擬變量,“滬港通”和“深港通”兩大政策,建立固定效應(yīng)模型。結(jié)果發(fā)現(xiàn):“滬港通”政策使得A股H股的溢價(jià)具有正向的影響,而“深港通”政策使得A股H股的溢價(jià)具有負(fù)向的影響,且“深港通”對(duì)A股H股的溢價(jià)的影響程度要大于“滬港通”。在此基礎(chǔ)上,筆者再利用滬港兩地市場(chǎng)的實(shí)際情況提出一些政策性建議,并為完善“滬港通”和“深港通”以及為投資者提供一些參考,如引導(dǎo)投資者進(jìn)行理性投資,建立套利投資策略等。
[Abstract]:Twin stock refers to the same company issued by the stock trading in the world, but there are different trading markets and owners' markets, in which the same stock with different trading prices is the most important feature. This phenomenon is known as the "twin stock price gap mystery", it has been the focus of academic attention. As of December 2016, there are 88 "A H" listed companies in the mainland and Hong Kong markets. With the opening of the Shanghai-Hong Kong Stock Connect in November 2014. In December 2016, the "Shenzhen-Hong Kong Stock Connect" has been officially opened. The purpose of this paper is to study the price difference factors of A-share H shares and the combination of "Shanghai Stock Connect" and "Shenzhen-Hong Kong Stock Connect". With the rapid development of China's capital market. The future of the capital market is becoming more and more important. This paper synthesizes the stock market differences and the behavior of investors, using dynamic panel data to analyze the reasons for the price differences between A-shares and H-shares of Chinese dual-listed companies. And from the market segmentation, the study of demand elasticity differences, information asymmetry, liquidity differences, risk preference differences. The results show that: information asymmetry hypothesis, demand elasticity hypothesis, liquidity difference hypothesis and risk preference difference. H stock price differences have a strong ability to explain. Next, this paper takes "Shanghai Stock Connect" and "Shenzhen-Hong Kong Link" as the segmentation point, using Granger causality test method. The change of AH premium is studied. The results show that before the approval of the Stock Connect between Shanghai and Hong Kong, there is an obvious market segmentation between the two markets, and after the approval of the Stock Connect, the flow of H shares in A shares between Hong Kong and Shanghai is obviously enhanced. The stability and applicability of Shenzhen-Hong Kong Stock Connect, which was established in the policy of "Stock Connect between Shanghai and Hong Kong", is much higher than that of the former. From the introduction of the policy to the start of the period, the market stock flows more frequently; Finally, after the policy started, its impact breadth has been reduced, indicating that the market is more rational. Further, this paper adds two virtual variables in the regression model, the "Stock Connect" and "Shenzhen Stock Connect" policy. The results show that the "Stock Connect" policy has a positive impact on the premium of A-share H shares, while the "Shenzhen-Hong Kong Stock Connect" policy has a negative impact on the premium of A-share H-share. And the "Shenzhen-Hong Kong Stock Connect" has a greater impact on the premium of A-share H shares than the Shanghai-Hong Kong Stock Connect. On this basis, the author makes use of the actual situation of the Shanghai and Hong Kong markets to put forward some policy suggestions. It also provides some references for the improvement of the Stock Connect between Shanghai and Hong Kong and the Stock Connect between Shenzhen and Hong Kong, such as guiding investors to invest rationally and establishing arbitrage investment strategy.
【學(xué)位授予單位】：上海師范大學(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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