A+H股双重上市公司价差问题研究.pdfVIP

论 文 摘 要 中国的股票市场最近几年的快速发展，以及独特的市场分割特征吸引了投资者、 金融分析师和学者的关注。本文主要探究A+H股双重上市公司价差形成的原因和表现 特征。 在理论分析中，本文认为上市地点因素、估值方法因素、需求弹性差异与信息不 对称等因素导致了A股股价在大部分时间高于H股价格。 通过对 56 家 A+H 股双重上市公司分组分析发现：溢价率水平与上市公司的业绩 和市值有着密切关系，一般市值较大业绩较好的公司溢价率水平较低；溢价率水平呈 现较为明显的行业特征，金融与保险行业、金属与非金属行业的A股溢价率水平较低。 在实证研究发面，选取9家样本公司，运用2007年1月12日到2008年12月26的周收 益率数据分析A股价格与H股价格的超前滞后效应，考察两地市场信息不对称问题。通 过9家公司的A股与H股的序列平稳性检验发现他们符合弱有效市场的定义，随后通过 Granger因果检验发现在部分股票中存在超前滞后效应，验证了两地市场存在信息不 对称。 关键词：双重上市公司，市场分割，需求弹性，信息不对称，超前滞后效应 III Abstract Chinese stock markets have attracted a lot of attention from investors, finance analysts and academic scholars for their fast growth and their unique features of market segmentation in recent years. The dissertation is to focus on the phenomenon of A shares trading at premium over their H share counterparts. Theoretically, I indicate that the different location of listing, evaluation methods, demand elasticity and information asymmetry were main factors for explaining the discount of H shares relative to A shares in almost times. After making researches on 56 dual-listing companies by different groups, I found that those companies with large cap and high net income are trading at smaller premium over H share counterparts than the others. Companies in the industry of finance, insurance, mental and non-mental are exhibiting lower premium. Empirically, I use weekly returns of nine sample companies in the period from 2007-1-12 to 2008-12-26 to analyze Lead-Lag effect in order to study the problem of information asymmetry. The serial stationary test on weekly returns suggests that both A and H shares markets are weak-form efficient. The Granger causality test suggests that the lead-lag relation exists b