A、H股市场盈余信息价值的比较研究

【作者】 刘静；

【导师】 姚铮；

【作者基本信息】 浙江大学 ， 企业管理， 2006， 硕士

【摘要】 中国证券市场具有独特的A、B、H股市场分割结构,这一问题引起了国内外学者的广泛关注。但是从国内外相关文献看来,研究大都集中在对外资股折价成因的探讨上。本文运用了计量经济学和统计学等有关理论和方法,尝试从会计盈余信息价值的角度研究市场分割,即通过比较A、H股市场双重上市公司股价对不同会计准则盈余信息的反应,考察两个市场在信息获取、信息传递和信息评价等方面表现的价值差异。 基于日数据的实证研究结果表明:A、H股市场在盈余信息获取上表现出明显的差异,两个市场对其各自的盈余信息具有更强的反应;盈余信息对A股市场和H股市场均存在一定的预示效应,但是H股市场的预示效应早于A股市场,两个市场之间存在明显的信息不对称;两个市场在一定程度上可以识别好坏盈余消息,但是他们在评价消息方面却表现出一定的投资非理性。 根据实证结论,本文对中国股票A、H股市场的一体化预期提出了相应的对策建议:一是有计划有步骤的推进会计制度一体化;二是健全立法,完善信息披露制度;三是发展规范机构投资者,引导投资者理性投资。只有政府引导和市场导向相结合,才能真正实现A、H股市场的互动。更多还原

【Abstract】 Under a complicated historical background, Chinese stock market has a very unique segmented market system with A, B and H share co-existing market, on which the study has significant academic value and realistic meaning. Viewing from related literatures in and abroad, most of these researches focus on B-share or H-share discount. Through analysis on dual listed company’ s share price reaction to accounting earnings under different accounting standards, we found there are differences in information acquirement, information transfer, and information evaluation between A and H share markets.The result based on test of diurnal data shows: there are differences in information acquirement between A-share and H share, and two market have strong reaction to their own earnings; Accounting earnings have a pre-effect on A-share and H share, but H-share’ s pre-effect is earlier than A-share’ s, and there is information asymmetry between two stock markets; investors from different markets can distinguish good information from bad information, but still there are irrational investment from information evaluation.Under the expectancy of markets amalgamating, and with the conclusion from theoretical analysis and empirical study, the paper offers three suggestions: First, accounting integration should be reached step by step; Second, information asymmetry and the system of information disclosure should be perfected; Third, investors should be leaded with rational investment. Under the guidance of both government and market, can it enhance the interaction between A-share and H-share markets.更多还原