【摘要】：隨著經濟全球化的發(fā)展，越來越多的企業(yè)選擇跨境上市的方式進行融資，交叉上市現(xiàn)象也更加普遍。國外學者對交叉上市時的市場反應做過研究，并提出了相應的理論去解釋。但在中國，關于H股上市公司到A股交叉上市事件對H股市場的影響的研究還很少。并且，由于中國市場與國外市場特點的不同，國外的理論假說也不適用于中國市場。 本文通過事件研究法對以下三個事件研究了H股的市場反應：1）H股上市公司第一次公告建議發(fā)行A股；2）H股上市公司的A股發(fā)行申請獲得中國證監(jiān)會正式批準；3）H股上市公司首次發(fā)行A股上市。通過研究發(fā)現(xiàn)，只有在H股公司的A股發(fā)行申請獲得中國證監(jiān)會批準時，市場才有超額收益。這與國外市場的研究結論顯著不同。并且，通過將樣本分為央企和非央企兩組公司，發(fā)現(xiàn)非央企的超額收益比央企顯著要大。 將樣本進行回歸分析發(fā)現(xiàn)，H股公司所期望的A股發(fā)行價相對H股的溢價與A股相對發(fā)行規(guī)模是影響H股市場反應的主要原因。這揭示出H股的市場反應是基于A股的發(fā)行溢價能夠帶來H股內在價值的提升，而非交叉上市能夠給企業(yè)本身帶來實際的改善。這相當于損害國內A股投資者的利益來提升H股投資者的利益。對此，，從監(jiān)管角度考慮，本文提出應當改進H股公司在A股的發(fā)行與定價機制，保護國內投資者的權益。
[Abstract]:With the development of economic globalization, more and more enterprises choose cross-border listing for financing, cross-listing phenomenon is more common. Foreign scholars have studied the market reaction of cross-listing, and put forward the corresponding theory to explain. However, there are few studies on the impact of H-share cross-listing on H-share market in China. Moreover, because of the difference between Chinese market and foreign market, the theoretical hypothesis of foreign countries is not applicable to Chinese market. This paper studies the market reaction of H shares to the following three events by the method of event research: 1) the first announcement of H shares listed companies suggests issuing A shares / 2) the application for A share issuance of H shares listed companies has been formally approved by CSRC; 3) A-share listing of H-share listed companies. According to the research, the market has excess returns only if the A-share issuance application of H shares is approved by the CSRC. This is significantly different from the research results of foreign markets. Moreover, by dividing the sample into two groups of companies, it is found that the excess income of non-central enterprises is significantly larger than that of central enterprises. The regression analysis shows that the premium of A-share price to H-share and the relative size of A-share are the main reasons that influence the reaction of H-share market. This reveals that the market response of H shares is that the premium of issuing A shares can bring about the enhancement of intrinsic value of H shares, but not cross listing can bring real improvement to the enterprises themselves. This is equivalent to damaging the interests of domestic A-share investors to enhance the interests of H-share investors. From the perspective of supervision, this paper puts forward that we should improve the issuing and pricing mechanism of H shares in A shares to protect the rights and interests of domestic investors.
【學位授予單位】：上海交通大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51

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本文編號：2211426