【作者】 范海燕；

【导师】 秦凤鸣；

【作者基本信息】 山东大学 ， 金融学， 2009， 硕士

【摘要】 市场分割对资本流动的限制使传统的资产定价理论的前提不再成立,在分割市场上拥有同样索取权的股票常常出现价格差异的现象。中国的股票市场也同样存在着严重的市场分割。其中,香港和内地股票市场的分割,造成了A、H股双重上市公司的股票在这两个市场间存在显著的价格差异。与其他国家常见的外资股溢价不同,我国证券市场的分割却导致了独特的外资股折价现象。长期以来,双重上市公司的H股相对于A股存在较大幅度的折价并且成为我国企业实现境内外同步融资的首选。本文旨在从理论和实证方面对于这种价格差异产生的原因进行了解释。本文首先对国内外学者关于市场分割和股票价格差异问题进行理论综述,然后针对内地和香港股票市场的实际情况进行重点分析。通过选取在A股市场和H股市场同时上市的29家公司作为样本,分别采集2006年1月1日至2009年2月27日期间的日交易数据,应用统计方法和计量经济学模型进行研究分析,对我国A、H股双重上市公司的股价差异现象从多角度进行了较为全面的研究。最后,基于理论分析和实证分析的结果,本文认为投资者由于信息不对称、风险偏好差异、投资理念差异、市场交易环境的影响和系统风险等对双重上市公司A股和H股的价格差异均产生重要影响。由于中国内地股票市场上形成的特殊信息壁垒造成了我国双重上市公司A、H股特殊的信息传递方向,使得对信息不对称因素的研究出现了与传统理论相背离的结论。而在对市场交易环境这个影响因素进行研究的过程中,由于我国特定的股票市场系统性风险的不可测性和复杂性,用传统的上市公司股票的资产分散化效应已经不能解释新时期下的股票价格差异现象,实证研究结论也出现了与理论预期不同的结果。更多还原

【Abstract】 As the present of market segmentation, the dual-listed company who listed on separate market has different stock prices. In China’s Mainland stock market and Hongkong stock market, where exists the serious problem of segmentation, it give rise to the obvious price discrepancy between A-share and H-share. Compared to the common phenomenon in other countries that the stock price of the foreign market is usually higher than the domestic market’s , China has a "puzzle" that the price of H-share is lower than A-share. This paper is aiming at explaining this special phenomenon theoretically and empirically.In this paper, the author firstly reviews the relevant theories about market segmentation and price discrepancy and previous research results on this topic. Then, making an emphasis on the case analysis by selecting 29 dual-listed companies which have listed both on Mainland stock market and Hongkong stock market as a sample. The observation period is from Jan 1st, 2006 to Feb 27, 2009 and all the analysis is based on the penal data on daily trading. With the combination of the modern econometric models, the author intend to explain this special economic phenomenon more deeply and comprehensively.Finally, based on the previous theories and the empirical research, the author gives the conclusions as follows: the factors including information asymmetry、risk preference、investment choice、market background difference and system risk are the important factors which can have a heavy effect on the price discrepancy between A-share and H-share. Owing to the barriers on the whole process of information transfer, the information communication direction between these two markets has changed reversely, which makes the conclusion is deviated from the theory hypothesis. Also, because the complexity and the unpredictability of the Chinese stock market, the price discrepancy between A-share and H-share can not be explained by the traditional asset portfolio theory.更多还原