《双重上市公司A、H股价差的实证研究》-毕业论文.doc

PAGE w 摘要 同一家上市公司在不同资本市场的价格不同，是什么因素导致了这种不同的反应，又是什么因素显著地影响了两个资本市场的价差？本文基于多元回归模型，通过Eviews软件对双重上市公司A、H股价差的影响因素进行研究，主要研究流动性差异因素、信息不对称因素、需求价格弹性因素、投资者认知因素、信息披露差异因素这五个因素，并以成交量、流通股总市值、流通股总股本、机构投资者持股比例、前10大股东持股比例之和、风险评级（偏离度）这六个指标建立回归模型，本文采用了三年的数据长度，实证检验了对于价差显著影响的因素。实证结果表明：信息不对称因素、需求价格弹性因素对于A、H股溢价率有显著性，能较好地解释价差形成的原因。 关键词：双重上市，价差，影响因素 Abstract What factors led to different reactions with a listed company in the capital markets price, but also what factors significantly affect the spread of the two capital markets? Based on multiple regression models, by Eviews software on the dual-listed companies, the H-share price differential impact of factors .It is mainly the mobility of different factors, information asymmetry factors, the price elasticity of demand factors, investor cognitive factors, information disclosure differences factors. The variable including the volume, outstanding shares of the total market value, outstanding shares of the total share capital, the proportion of institutional investors holding, the top 10 shareholders stake, risk rating (degree of deviation), established the return model. This paper uses three years of data length, the empirical test of the factors for the spread significantly affected. The empirical results show that: the information asymmetry factor, the price elasticity of demand factors for the A, H shares premium rate significantly better explain the reasons for the spread formation. Key words ：Dual listing, Spread, Influencing factors 目 录 摘 要……………………………………………………………………………….Ⅰ Abstract……………………………………………………………………………Ⅱ TOC \o 1-3 \h \z \u HYPERLINK \l _Toc229230994 1. 引言 PAGEREF _Toc229230994 \h 1 HYPERLINK \l _Toc229230995 1.1选题背景 PAGEREF _Toc229230995 \h 1 HYPERLINK \l _Toc229230996 1.2选题意义及目的 1 HYPERLINK \l _Toc229230997 1.3研究现状 2 HYPERLINK \l _Toc229230997 1.4研究思路及创新点 PAGEREF _Toc229230997 \h 3 HYPERLINK \l _Toc229230998 2. 双重上市概念及市场分割概述 3 HYPERLINK \l _Toc229230999 2.1双重上市定义 3 HYPERLINK \l _Toc229231000 2.2市场分割概述 4 HYP