【作者】 李勤；

【导师】 何丹；

【作者基本信息】 西南财经大学 ， 会计学， 2011， 硕士

【摘要】 国际资本市场的跨境上市始于20世纪80年代,随着世界经济—体化和金融全球化进程加快,越来越多的国家开放本国证券市场的同时也不断加强证券市场国际化,跨境上市变得容易,跨境上市融资比重增大。在我国,资本市场通过的30年发展,取得了很大的成功,随着金融全球化的进程,我国内地企业除了在国内资本市场融资筹资外,也希望与外界经济体合作,因此很多企业期望赴海外上市。中国企业赴境外上市分为直接上市和间接上市两种途径。众多内地公司选择香港作为海外上市的目的地,截止到2010年12月31日,共有66家上市企业既在A股市场又在H股市场上市。其中先H股上市再A股上市的有52家,先A股上市再H股上市的有7家,两个证券市场同时上市的有7家。而相信随着我国资本市场的进一步开放,再加上我国公司的快速增长,将会有更多的企业选择交叉上市。随着国际上交叉上市公司数目的不断增长,交叉上市企业规模不断扩大,因此交叉上市企业对资本市场的重要性也就不断增强。所以一些研究人员开始研究这些交叉上市企业是否会对国内资本市场有影响,是否会对其他并没有交叉上市的纯国内上市企业带来正面或者负面的效应。这种影响即为交叉上市的溢出效应,包括对纯国内上市公司起正面效应的风险分散效应,也包括对纯国内上市企业起负面作用的分流效应。但是截止到目前,国内对于交叉上市的理论研究并不多,且主要集中在交叉上市动因、不同市场价格差异、以及交叉上市企业价值变化的研究上,而对于交叉上市的溢出效应的研究十分稀少。并且这些对交叉上市溢出效应影响的研究由于样本的限制,仅仅只研究了先H股后A股这种交叉上市路径对国内纯国内上市公司的影响。从2006年开始,先A股后H股和两个市场同时上市的交叉上市企业逐渐增多,而当前并没有三种交叉上市路径所导致的溢出效应的相关研究文献,所以交叉上市的溢出效应是个炙手可热的新兴研究课题。本文的研究目的是通过对2006年-2010年“A+H”交叉上市事件对于同行业的纯国内上市公司股价的变化情况来分析“A+H”交叉上市事件是否会给同行业的纯国内上市公司带来影响,以及不同的交叉上市路径是否会给同行业的纯国内上市公司带来不同影响。从而填补我国没有分路径讨论交叉上市溢出效应的空白。本文的研究思路,要求本文包括理论,实证和结果分析与对策建议几部分。所以本文的主要内容包括以下几个部分：第一章为绪论。本章主要从四个方面展开：①阐述本文的选题背景和研究意义；②分析了本文研究思路和研究方法；⑧说明了本文的论文结构；④归纳了本文的主要创新点。第二章是相关文献综述。本章对国内外有关交叉上市公司研究进行了回顾,主要包括交叉上市动因、交叉上市与企业绩效、尤其是关于交叉上市对于同行业纯国内上市公司溢出效应的文献进行研究。并做出了总结与评价。第三章为我国企业的“A+H”交叉上市发展情况分析。归纳我国企业“A＋H”交叉上市的特点。总结得出2006年后交叉上市的企业相较于2006年之前的交叉上市企业市场价值大、成交量显著、对于同行业纯国内上市公司的影响也应当比以前显著。所以研究2006年后的交叉上市的溢出效应是具有极高价值的。第四章为理论基础。从理论上分析交叉上市企业在交叉上市事件发生时对于同行业纯国内上市公司产生溢出效应的原因。总结出风险溢出效应的理论基础——市场分割假说的核心观点在于：①由于交叉上市消除市场分割,提高当地市场和国际市场的一体化程度,促进当地市场的发展,给国内市场带来正向效应；②交叉上市公司相关程度高的纯国内上市公司因为交叉上市公司的双重上市而间接实现国内国际市场一体化,间接分散了纯国内上市公司风险,给纯国内上市公司是带来正向效应。而分流效应的理论基础——约束理论的核心观点在于：①由于交叉上市可以提升交叉上市公司本身的价值,所以公司可能更愿意到海外上市,投资者也更愿意到海外投资,降低国内市场的交易量和减少国内市场的投资额给国内市场带来负向效益；②企业交叉上市能带来交叉上市公司本身质量好,价值大的信号作用,使得国内市场的投资者更愿意投资交叉上市公司而卖出纯国内上市公司股票,给纯国内上市公司带来负向效应；③企业交叉上市传递出交叉上市公司本身质量好的信息,使得交叉上市公司更容易在母国市场上进行IPO权益融资,或者股票再融资,给国内市场造成扩容压力,给国内纯上市公司带来负向效应。第五章是本文的主体部分。本章第一节首先提出了两个假设：一是我国“A+H”交叉上市是否会给同行业纯国内上市公司带来溢出效应,二是不同的交叉上市顺序是否会使得溢出效应的方向产生不同。本章的第二节阐述了选取事件法和多元线性回归方法这两种方法来检验笔者提出假设的原因。本章的第三节完成了事件法的研究方法设计和研究结果分析,笔者认为①从总体CAR的显著性检验来看,所有的样本都通过了CAR的显著性检验,验证了假设1,交叉上市对于纯国内上市公司有显著的溢出效应。②从三种模式下CAR的显著性检验来看,先H后A样本和A+H同时上市样本的CAR是显著大于零的。这表明着两种模式下,交叉上市对于同行业的纯国内上市公司带来溢出效应的影响是正的,引起了同行业公司股价上升,股东财富的增加。而先A后H的样本CAR是显著小于零的,这表明先A后H模式下交叉上市对于同行业纯国内上市公司带来溢出效应的影响时负的,事件期内降低了同行业公司价值。这验证了假设2,不同的交叉上市顺序将会有不同的溢出效应方向。③从CAR的均值大小来判断,最大的是A+H同时上市模式,这也是我国2006年后创新性的采用的一种上市模式。表明同时上市模式下交叉上市给我国资本市场带来的是利好消息。先H后A模式下的CAR均值也大于零,且和总样本的CAR均值差异小,这种模式也是我国大部分企业交叉上市所采用的模式。表明先H后A模式下交叉上市给我国资本市场也是带来利好消息。先A后H模式下CAR均值小于零,表明这种模式下交叉上市给我国资本市场带来的是利空消息。本章第四节为交叉上市溢出效应的回归检验,获得了与事件研究法相同的研究成果,进一步解释了导致了不同交叉上市模式具有不同溢出效应方向的原因。第六章总结本文的研究成果、分析不足之处,最后提出后续研究的可能发展与建议。笔者根据实证研究的结果提出了对于市场投资者而言,在发生A+H同时上市或者H股回归A股的事件后,投资者可以适当增加对于同行业公司股票的投资；而如果A股上市公司宣告将到香港上市时,投资者要适当减少其同行业公司的股票的建议。由于当前国内对于交叉上市的研究主要集中在交叉上市动因、不同市场价格差异或者是交叉上市后企业绩效分析的研究上,所以对于交叉上市的溢出效应的研究十分稀少,而这些对交叉上市溢出效应的影响的研究由于样本的限制,又只研究了先H股后A股这种交叉上市路径对国内纯国内上市公司的影响。而本文针对先H股后A股、先A股后H股和两个市场同时上市三种交叉上市路径所导致的溢出效应进行了研究,所以本文的主要贡献有：(1)创新了研究领域。本文针对的是先H股后A股、先A股后H股和两个市场同时上市三种交叉上市路径所导致的溢出效应进行研究。而国内关于交叉上市的文献本身就不多,大部分文件仅是在研究交叉上市的动因、交叉上市对于价格的影响或者是交叉上市后对企业绩效的影响。研究交叉上市对于同行业的溢出效应很少,而且研究的均为先H后A股交叉上市路径所导致溢出效应。所以本文创新了研究领域。(2)创新了研究方法。本文采用了事件法进行研究,通过对同行业纯国内上市公司企业股价在交叉上市事件期之间是否具有超额收益率来说明交叉上市事件是否会导致溢出效应,能够直观的说明事件产生的影响。本文还结合回归的方法,对交叉上市溢出效应进行回归检验。而大部分研究交叉上市的文章采用的均是使用面板数据,采用回归的方法来做实证研究。所以本文创新了研究方法。(3)更新了研究数据。本文选取的是截止到2010年12月31日的上市公司数据作为样本,数量充足,具有全面性,时间较新,具有时效性。能有效的研究当前交叉上市所导致的溢出效应并根据结果提出改进资本市场的建议。更多还原

【Abstract】 During the past three decades, the pace of globalization in capital markets has accelerated and broadened in scope to make easier ownership and trading in securities from around the world.In China, capital market development for 30 years, achieved great success。However, as the process of financial globalization, more and more enterprises are willing to overseas listing Chinese companies listed on overseas market with the introduction of direct and indirect two ways. Direct listed is the territory of China as the direct application to the legal issue of foreign exchange trading exclusively for foreign investors and the stock market. Currently Chinese enterprises listed overseas locations including Hong Kong, London, New York and Singapore. The indirect overseas listing is the company’s foreign affiliates abroad issued outside the stock market or in the acquisition of a foreign listed company backdoor listing.Many companies have chosen Hong Kong as a destination for overseas listing. For one hand, Hong Kong is an international financial center, for another hand, because of its geographic and political reasons. In 1993, Tsingtao brew listed on Hong Kong market, since Chinese companies listed in Hong Kong has grown. Also many cross-listing is also increasingly. A lot of domestic companies listed in Hong Kong returned to market, while domestic companies listed on overseas market expectations. As of December 31,2010 a total of 66 companies listed on both the A-share market and the H-share market. Where the 52 companies listed on H-share market first, the 7 companies listed on A-share market, the 7 companies listed on the securities market at the same time. And I believe that with the further opening of China’s capital market, coupled with the rapid growth of our company, there will be more businesses to choose cross-listing.As the international cross-listing on the growing number of companies, the scale of cross-listed companies continues to expand, so cross-listed companies on the importance of the capital market also growing. Therefore, some researchers began to study whether these cross-listed companies will affect the domestic capital market or not? Whether these cross-listed companies will affect on the other domestic listed or not? If it does, whether positive or negative effects? This effect is the spillovers. But so far now, there are a little of theory of cross-listing, lots of research are concentrated in the cross-listing causes, the price differences between different markets and changes in the value of cross-listed companies. The cross-listing spillovers research are extremely rarely. Because of the sample restrictions, previous study on cross-listing spillover effect only focus on companies, which first listed on H shares market, and then listed on A shares market. However, since 2006, more and more companies listed on A-share market first or listed on the securities market at the same time. There are no studies on different path cross-listing spillovers, so the spillover effects on cross-listing is a hot new research field.The purpose of this paper is that through the studies on cross-listing from 2006 to 2010 Analysis of cross-listing whether effect on domestic listed companies or not? If it does, whether different paths cross-listing have different effects? Whether positive or negative effectsThis paper should include theory, empirical analysis, suggestions and the results of several parts. Therefore, the main content of contains following parts:The first chapter is an introduction. This chapter mainly from four aspects: first article describes the research background and significance; second this paper analyzes the ideas and research methods; third illustrates the structure of this paper; and finally summarizes the main innovation of this article.The second chapter is pretext, which reviews the relevant research fruits in this field. These researches include cross-listing of motivation, cross-listing companies performance, particularly on cross-listing spillovers.The third chapter is analysis of cross listing development in A-shares market and H-shares market, summarized China’s enterprises cross-listing features. I concluded that compared to cross-listed companies’before 2006, cross-listed companies after 2006 have large enterprise market value, the significant trading volume, more significant impact on domestic listed companies. Therefore, study on the spillover effects of cross-listing, which after 2006, is a very high value. The fourth chapter is a theoretical basis. Theoretical analysis why cross-listing has spillover effects on domestic listed companies. Summed up market segmentation hypothesis is the theoretical basis of positive spillover effects, while the bonding hypothesis is the theoretical basis of the negative spillover effects.The fifth chapter is the main part of this article. First proposed two hypotheses, one cross-listing have spillover effects on domestic listed companies; another different paths cross-listing have different effects. Second, explain why I select the events study and the multiple linear regressions to test the two hypotheses. Third, Analysis of the events study results, I found that listed on H-share market first and listed on the securities market at the same time have positive effects on domestic listed companies; listed on A-share market first have negative effects on domestic listed companies. Fourth I use the multiple linear regressions results to obtain the same results.The sixth chapter is the summary results of this study, analysis of the inadequacies, and finally the possible development of future research and recommendations.Because lots of researches are concentrated in the cross-listing causes, the price differences between different markets and changes in the value of cross-listed companies. The cross-listing spillovers researches are extremely rarely. Because of the sample restrictions, previous study on cross-listing spillover effect only focus on companies, which first listed on H shares market, and then listed on A shares market. This paper studies the spillover effect on different paths cross-listing, so the main contribution of this paper:(1) Innovation of the research, this paper first the spillover effect on different paths cross-listing, first study of the spillover effects on A-shared market listed first and on the securities market at the same time listed.(2) Innovation of the research method, I use the event study method, study the changes in domestic listed company’s share price, to explain whether these cross-listed companies will affect on the other domestic listed or not? I also use the multiple linear regressions to explain the spillover effect. Most studies only use the multiple linear regressions as empirical research methods. (3) Update the research data, I use the date of listed companies from 2006 to 2010, so I can obtain sufficient number and time close samples. I can effectively study on the cross-listing spillovers and suggest improvements based on the results.更多还原