【作者】 程鹏；

【导师】 孙静；

【作者基本信息】 清华大学 ， 工商管理， 2007， 硕士

【摘要】 截至2007年4月19日,共有40家中国公司同时在内地、香港发行上市了A股和H股(简称A+H股)。H股已成为香港证券市场的一个重要组成部分,对于中国内地企业海外融资和香港证券市场的发展,起到了巨大的推动作用。同一家公司股票,产生相同的未来现金流,在资本市场充分融合,具有相同的未来收益和风险特征的条件下,股票价格不会受交易地点的影响。然而由于存在投资者限制、信息不对称,语言和文化的障碍,导致市场分割,同一家公司在香港和内地上市交易的股票价格会存在差异。本文通过对1998年至2006年期间市场指数波动相关性以及15家H股、A股双重上市公司波动相关性、A股股价相对于H股股价溢价倍数的分析,发现H股与恒生指数的关系更为紧密,H股的波动受香港市场的影响更大,同时A股、H股的波动相关性正在增强,溢价倍数逐步下降,H股、A股双重上市公司的股价在不断融和,并对其原因进行分析。更多还原

【Abstract】 There were 40 Chinese companies that issue A-share in mainland and H-share in Hong Kong before April 19.2007. A-shares are restricted to mainland Chinese investors, while H-shares are available to Hong Kong and international investors. H-share is becoming very important proportion of the shares exchanged in Hong Kong Stock Exchange. H-share do useful effect on the development of the capital market of Hong Kong and help Chinese companies get financing from international capital market. If international capital markets are perfectly integrated, cross-listed shares, should have the same return and risk characteristics, and their prices should not be affected by the trading location. However, in reality, restrictions on foreign ownership, information asymmetry between domestic and foreign investors, language and cultural differences, and other direct or indirect barriers lead to segmendated markets.This paper investigates the correlation between prices movement of mainland Chinese share market and Hong Kong. By studying the price behaviors of 15 firms dual-listed on mainland and Hong Kong stock markets from January 1998 to December 2006,We find that the correlation between the two mainland markets is becoming stronger, H shares price fluctuation embody risk premiums from both Hong Kong and China’s mainland’s markets, with a larger portion pertaining to the former., and the firm-specific price premium between A-share and H share is becoming much smaller and the two segmented markets is to being integrated.更多还原