AH双重上市公司股票价格差异分析.docx

摘要我国证券市场成立时间比较晚，但是一成立就受到了国内外学者的关注，尤其是对我国外资股折价这一独特现象，做了大量的研究。但是都集中于对 B股折价的研究，对 H 股折价的理论和实证方面的研究十分缺乏。本文应用股票市场微观结构等理论和方法，从信息不对称、流动性差异、分散化效应、需求弹性差异、风险规避程度差异和汇率风险等多方面对我国 H 股折价进行了深入的理论分析。并通过变量设计，建立了模型对各个影响因素进行了实证检验，以探究造成 H 股相对于 A 股折价的主要因素。研究结果表明：信息不对称、流动性差异、需求弹性差异和非流通股的体制因素是影响我国 H 股相对于 A 价的主要因素；信息不对称因素对上升波段影响比下降波段显著；风险规避程度差异在下降波段对折价率有一定的影响力，而对上升波段没有显著影响；流动性差异对上升波段影响较较下降波段更为显著。在我国证券市场逐步开放，市场合并的预期下，本文根据理论分析和实证检验的结果，提出了相应的对策和建议：一是改善信息不对称状况，完善上市公司信息披露制度，规范 A 股市场的价格信号体系；二是要引导 A 股市场的理性投资，逐步培养理性投资的市场氛围；三是逐步解决股权分置问题，消弱非流通股对 H 股折价的影响，促进 A、H 股价格接轨；四是要逐步加大市场开放力度，通过引入 QDII 机制，进一步加强 A、H 市场的互动性。关键词：A 股，H 股，价格差异，影响因素IABSTRACTAlthough the stock market of our country established later,it attracted foreignand domestic researcher’s eyes as soon as its foundation.Espaecially on this uniquephenomenon of research.But the research almost concentrated on B-share dis-count.H-share has received little attention both on theoretic study and empiricalstudy.This thesis uses microstructure of stock markets,analyse H-share discounttheoretically from information asymmetry,liquidity effect,diversification bene-fit,demand elasticity,risk choice degree and exchange rate risk,etc.Cross-sectionalmodel and panel model is constructed to examine each influence factor in order toprobe into to the main factors causing H-shares discount.The result based on empitical test data shows:information asymmetry,liquidityeffect,demand elasticity difference and non-negotiable stock factor are the mainfactors of H-share discount.Information asymmetry effects discount more remarka-bly during rising band drop phse,but has no influence during rising phase.Under the expectancy of markets amalgamating,according to the conclusions oftheoreticalanalysisandempiricalstudy,thethesisoffersfoursugges-tions:First,improve information asymmetry,perfect the system of information pub-lish,and normalize the system of price signal of A-share;Second,lead A-share inves-tors to investors to invest reasoningly,and cultivate market atmosphere of rat