交叉上市、股票发行定价与市场溢出效应.pdfVIP

Vol No Journal of Dalian University of Technology Social Sciences Jul H A A H H A H A A A H A F A X CrossListing IPO Pricing and Spillover Effect CHEN Xuesheng CUI Fenghui FANG Hongxing 1 School of Business ShanDong University WeiHai 264209 China 2 School of Accounting DongBei University of Finance and Economics Dalian 116025 China Abstract Cro ss listing can lead to the f luctuation of stock price in the original listing market w ith the so called spillover eff ect T his paper ex plores the spillover eff ect of the H share to A share or A share to H share cross listing s It is f ound that both w ay s of the cross listing s can cause spillover eff ect on the day s bef ore and af ter the company s announcement date and it s listing date T he announcement date eff ect is negative but the listing date eff ect is po sitive Further research f ound that the spillover eff ect to the H stock market of the cross listing s returned f rom H share to A share are mo stly aff ected by the A share s listing price and the ex pected re turn of A market But the spillover eff ect to the A stock market of the cross listing s returned f rom A share to H share are mostly caused by the diff erence of the market maturity and the investors ex pectation of the eff i ciency of corporate governance disclo sure of inf ormation supervision investor protection and other f actors Key words cross listing IPO pricing spillover eff ect