永久_暂时模型及信息分享模型下交叉上市公司_省略_格发现研究_基于A_H股上市公.pdfVIP

562009 1# 23# 1( 109) / ) ) ) 基于A + H 股上市公司的实证检验 陈学胜, 周爱民 ( 南开大学 经济学院, 天津 300071) : G onzalo G ranger( 1995) /( P erm anen t/T rans ito ry ) H asbrouk( 1995) ( Info rm ation Sha re) , A H , A H : A H , ; , A H , A H : / ; ; ; : F9301 91 : A : 1001- 8409( 2009) 01- 0132- 06 Price D iscoveryM odels: P erm an en t/ Tran sitory and Inform ation Share ) ) ) A pp lications to the A and H Shares Cross- L ist ing F irm s CHEN X ue-sheng, ZHOU A i-m in (School of Econom ics, N ankai University, Tianjin 30007 1) Abstra ct: In th is paper, tw o w ell- know n comm on factor m od els, the perm anen t- trans itory m odel proposed by G onzalo and G ranger ( 1995 ) and the inform ation share m odel p roposed by H asb rou ck ( 1995) are used tom easu re the contribution of A share m ark et and H share m arket to the price d iscovery process. Em p irical tests show that p rices of A sh are andH sh are stocks are d ifferent from each other, bu t they are co- in tegrated and m u tually ad u s- ting. The resu lts of both m odels show thatA sharem ark et m akes m ore con tribu tions to the price d iscovery, bu t the contribu tions ofH share m ark et are also sign ificant and m agn itude. K ey w ords: perm anen t/ tran sitory m odel; in form ation share m odel; cross- listing; price d iscovery , , A + H , 1993 A + H , , 54 H : A , AH ( 1)A H