【作者】 李燕；

【导师】 陆静；

【作者基本信息】 重庆大学 ， 金融硕士（专业学位）， 2016， 硕士

【摘要】 在中国股市,AB、AH两种双重上市企业占主导地位。然而,我国一直存在着AH双重上市公司的H股价格长期普遍低于A股,即“A股溢价”,有学者称之为“中国股票市场之谜”。以往研究从信息不对称、流动性差异、投资者偏好、风险偏好程度等对AH股价差做合理化解释,忽略AH股价差中不合理成分。本文从行为金融学的角度,研究投资者情绪对AH股价差的影响。本文针对AH股价格差异问题,综合以往国外学者与国内学者的研究成果,加入情绪解释变量,重点研究投资者情绪对AH股价差的影响。首先,选择IPO首日收益率、封闭式基金折价率、IPO数量、换手率和市场成交量等五个原始情绪指标,使用主成分分析法分别构造了大陆市场综合情绪指数和香港市场综合情绪指标;然后,收集和整理2003年到2014年间双重上市公司AH股的月度交易数据,构建面板数据:被解释变量即是AH股价差,解释变量有沪深300指数、恒生指数、市值增长、换手率、预期汇率,加入制度虚拟变量;最后,用固定效应回归模型,得出实证结果,并对结果进行解释分析。实证结果表明,双重上市公司AH股价差中存在不合理成分,显著地受到投资者情绪的影响。大陆市场综合投资者情绪与AH股价差正相关,即大陆市场综合投资者情绪越高,A股溢价率越高,A股价格越高,AH股价差越大。香港市场综合投资者情绪与AH股价差负相关,即香港市场综合投资者情绪越高,H股价格越高,AH股价差越小。更多还原

【Abstract】 In the Chinese stock market, existing two kinds of dual-listed companies which are AB and AH dominates. However, the price of H-share is always lower than the price of A –share in China in AH dual-listed, namely "A-share premium", some scholars have called "the mystery of the Chinese stock market." Previous studies based on the information asymmetry, differences in liquidity, investor preferences, risk appetite to provide rationalized explanations for the AH share price difference, not noting the irrational elements. Based on behavioral finance study in perspective,this paper Introduced in the effects of investor sentiment to explain the price difference.In this paper,, integrated with the research results of foreign scholars and domestic scholars, adding explanatory variables mood, focusing on the impact of investor sentiment on the AH share price difference. First, select five original sentiment indicators :closed-end fund discount rate, the number of IPO, turnover and market volume, using the principal component analysis were constructed and integrated continent composite sentiment index sentiment indicators in Hong Kong SAR; then, collecting the monthly trade data of cross-listed public company from 2003 to 2014; A-share premium is dependent variable, the explanatory variables are the IF300 index, the Hang Seng index, market capitalization growth in turnover, the expected exchange rate, adding dummies to build panel data. Based on the panels with fixed effects regression model to regress, analysising regression resultsThe empirical results show that AH share price difference of the dual-listed company exist unreasonable composition, affected by investor sentiment significantly. Comprehensive mainland market sentiment was positively correlated with AH share price difference, i.e. the higher mainland market integrated investment sentiment, the higher the A-share premium rate, the higher the price of A shares, AH share price the greater the difference. Hong Kong SAR stock market and the overall investment sentiment is negative correlation, the higher Hong Kong SAR market integrated investment sentiment, the higher H-share prices, and AH share price difference is smaller.更多还原