中国股票市场分割下价格差异性及其原因的计量研究
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摘要
中国国内企业在国内外市场双重上市带来了资产价格的重新调整,同时也带来了外资股折价这一特殊难题,这是传统理论所无法解释的。本文基于国内外股票市场发展历程,从双重上市公司股价差异角度开展研究,力图为促进我国股票市场健康发展提供有用的参考。
本文从分析中国双重上市公司股价差异的典型化事实及国际比较入手。运用ICSS识别方差离散突变点、永久/暂时模型、信息分享模型、分整关系检验等方法对不同市场的波动特征和动态关联性进行考察;运用BEKK-MGARCH模型对双重上市公司内外资股股价的均值溢出效应和波动溢出效应进行识别;从投资理念差异与资本资产定价角度对股价差异问题进行实证考察;运用固定效应模型和随机效应模型对双重上市公司股价差异的现实表现及其核心影响因素进行实证检验。研究发现,内地沪深股票市场与香港股票市场在价格发现功能上存在互为影响的关系,这也在实证上进一步说明A股市场与成熟的证券市场之间存在很大差距,开放程度不高、市场结构不合理等情况依然存在。A股市场和H股市场的融合程度较高,H股股票的价格受到A股价格变化的影响显著,H股换手率相对于A股换手率越大,A股与H股的实际流通股数的比值越大,H股相对于A股的收益率方差的比值越小,每股收益越大,那么A股和H股的价差就越小。
鉴此提出,明确双重上市监管原则、完善内地新股发行制度、鼓励多种形式的发行模式、建立健全市场套利机制、加强资本市场信息披露、强化双重上市发行监管合作等参考政策。
Multi-listed companies with stock prices based on different market segmentation as the background. Market segmentation means the price differences of homogeneous products in different markets caused by the market barriers and differences. If the international capital market is fully integrated, two or more shares of listed companies in the expected cash flows and risk characteristics were the same, then stock prices with the same rights must be equivalent.
For the stock market, the defects of the market segmentation are obvious. Firstly,fot the existence of market segmentation, foreign investors can no t reduce risk through diversity investment, investors being dropped; Secondly, market segmentation inhibited the domestic investment channels, hampered the healthy development of enterprises; Thirdly, the market segmentation created barriers of international investment, hinted the process of internationalization of capital markets, inhibiting the development of national economic health. Be noted that we mentioned here the shortcomings of market segmentation is the general description of the macro level, market segmentation on the specific impact of the capital market also needs detailed analysis.
Eun and Janakiramanan (1986) for the first time studied the impact of stock ownership on stock prices. Then, many scholars made a lot of valuable research on this field. Most of the countries studied existed market segmentation. But in the research of market segmentation of China, the scholars found that no mater the H or B, the discount of foreign shares widespread.
The historical background of China’s stock market is Complex, with a very high degree of market segmentation. Domestic companies listed in both domestic and foreign markets has brought the re-adjustment of asset prices, however, there has special challenges that foreign share discount, which can not explain by the traditional theory. Characteristics of the Chinese market segmentation study to explore the core elements of price differences between the dual-listed companies, both at the theoretical level or practical level, are very valuable.
This article uses the empirical analysis, specification analysis, historical analysis and comparative analysis on the research of this topic. Theoretical analysis of the process always follows the theoretical analysis with reality inspection combination. for dual-listed company's properties and the common stock difference research of different theoretical hypothesis in China. The applicability of visits; in empirical analysis of the process, always adhere to the theoretical analysis of empirical analysis based on empirical analysis.
This article is divided to 7 chapters:
Chapter 1, the reality of investigation on the Chinese stock market shares of different price. Firstly, described the price differences of dual-listed companies was compared with the international capital market issues within the foreign share discounts the reality of the background, the text of the post-theoretical analysis and empirical study to provide realistic basis.
Chapter 2, on the price gap between the theoretical hypothesis and Related Research. The information asymmetry hypothesis, the elasticity of demand hypothesis, liquidity hypothesis, the traditional hypothesis of investor differences brief review of the theoretical model, the system sort out the problem of dual-listed company's share price between the theoretical development context for the empirical analysis later in theory.
Chapter 3, different market shares of the dynamic correlation measure. The use of permanent /temporary model, information-sharing model, sub-integration relationship between the different test methods such as market volatility characteristics and dynamic association to inspect.
Chapter 4, the stock linkage of Information Transmission identification. Construction of this chapter, the theoretical model and empirical test all hypotheses based on information asymmetry. BEKK-MGARCH model using the dual listed foreign shares of the company's average stock price spillovers and volatility spillovers in the empirical test.
Chapter 5, investment and price differences between rational correlation. Writing this chapter different investment philosophy based on the hypothesis. Investment philosophy based Hietala differentiation model and Sharpe's capital asset pricing model in China and double the price gap between the shares of listed companies to empirical investigation.
Chapter 6, the share price difference between the panel data analysis of influencing factors. Through the fixed effect model and random effect model, the price of foreign shares in the mainland to identify differences in impact factors, trying to find a core element of price differences and the impact of direction and size.
Chapter 7, the share price difference of the Comprehensive Evaluation and Policy Implications. Chinese share prices under different market segmentation problem to comprehensive evaluation, summarized the reasons for price differences, and different prices for shares of the phenomenon of China and given the appropriate policy recommendations.
Analysis methods were used to standardize the analysis, historical analysis, and comparative analysis, the Chinese stock market Segment the price gap between the findings were as follows.
1. Different market dynamic relevance stocks empirical conclusions:
(1) the use of information-sharing model calculations, A-share market price discovery has 14 listed companies was higher than its H-share market price discovery. The use of permanent / temporary model calculations, A-share market price discovery has 12 listed companies than its A-share market price discovery.
(2) Permanent / temporary model does not take into account new information variance - covariance matrix, so the judge for information superiority is different, especially when the information shares of close to 1 / 2, the more apparent. A-share market than the H-share market price discovery ability to be strong, both from statistical numerical point of view or from the number of shares is true, but it should be noted, H-share market is also the important role that can not be ignored.
(3) Theoretical analysis and practical investigation concluded that the dual listed companies in their domestic markets tend to price discovery in a dominant position. Evidence, we find that China's market there are differences with this thesis, the Mainland and Hong Kong stock markets in Shanghai and Shenzhen stock markets affect the relationship between each other, which is also positive on the A-share market further information between the stock exchanges and there is a big mature gap open is not high, the market structure is irrational, and so on remain. And
(4) integration test results show that the H shares and A shares in the closing price of no cointegration sequence of 12 listed companies, in addition to Luoyang Glass accident, H shares and other listed companies closing price of A shares after the time-series regression residual first-order difference sequence d values were rejected by the assumption d = 0, indicating that the 11 companies listed H shares and A shares closing price of certain sequences between this conclusion and our theory is the same judge. H shares issued by the same company stock price of it’s A shares have a short-term impact, but the impact would ultimately disappear.
2. Stock linkage of Information Transmission identify the relevant conclusions:
(1) Hong Kong securities market and the Shanghai A-share market results showed that the mean spillover effect, that there is no guidance from the Hong Kong Shanghai A-share market stock market mean spillover effect, nor is there from Shanghai A-share market to the Hong Kong stock market's average overflow effect, the two market returns are independent of each other.
(2) Hong Kong securities market with the Shanghai A-share market volatility spillover effects test results showed that fluctuations in the two markets is mutually independent.
(3) The Hong Kong stock market and Shenzhen A-share market's average test results show that the spillover effect, in the two markets, and that means there is no stock market from Hong Kong to Shenzhen A-share market's average spillover effect, nor is there from the Shenzhen A shares Hong Kong stock market to the mean spillover effect, the two market returns are independent of each other.
(4) Hong Kong stock market and Shenzhen A-share market volatility spillover effects test results showed that the Shenzhen A-share market volatility by the Hong Kong stock market fluctuations in significant fluctuations in the securities market in Hong Kong by the Shenzhen A-share market will be significantly influenced fluctuations, the volatility of the market presence of two reciprocal relationships.
(5) Hong Kong stock market and Shenzhen A-share market volatility spillover effects two-way presence, further proof of the mainland capital market and capital market in Hong Kong has a high degree of integration with the mainland capital market openness gradually deepened, the two markets the investors will be gradually integrated. At the same time, there is no Shanghai A-share market and Hong Kong securities market information transmission between the effect of, nor the arbitrary that the Mainland and Hong Kong Capital Markets division entirely, from the perspective of economic ties, between the Mainland and Hong Kong is deepening, but In Hong Kong's capital market, the mainland capital market is relatively closed and backward. We can expect that as mainland companies listed in Hong Kong funding to speed up the frequency gradually, the scale increased, the Mainland and Hong Kong's capital market will become increasingly close ties between the two information transmissions between markets will be more significant.
3 The empirical findings of the correlation analysis with the investment rational differences and price differences.
(1)There are several empirical conclusions in Shanghai market as follows. First, the choice of the period between rate of return affects the integration of the test results, using monthly returns is better than Biweekly returns. The integration of B-share market and the whole stock market shows the trend of enhanced. Third, the integration of the dual listed company's B shares and the stock market is significantly stronger than the company issued B shares only.
(2)There are several empirical conclusions in Shenzhen market as follows. First, the integration with bi-weekly rate of return is stronger than the integration with monthly rate of return. Second, by using of bi-weekly rate of return, the integration are very strong in B shares and the market in two time periods. Third, the integration of the dual listed company's B shares and the stock market is significantly stronger than the company issued B shares only.
(3) The integration is strong for the B shares in Shanghai and Shenzhen stock markets with the whole market. Since the integration is sensitive to the choice of return interval, we can not draw conclusions that B shares and the stock markets are fully integrated. Especially for the companies only issue B shares; the degree of integration is relatively poor. At this point, we believe that B-share market and the stock markets are integrated on a certain extent, in view of the most important part of the whole stock market is A-share market, therefore, we believe the A shares and B shares is the higher degree of integration. Or a little more rigorous, we believe that A-share market and B-share market is Mild-Segmentation.
4. Price differences in factors of panel data analysis conclusion:
The index on behalf of the asymmetric information fundamentals ( MVi ,T),The index on behalf of the transaction information fundamentals( AIE Ai ,T)、The index on behalf of the differences in liquidity( RTN i ,T),The index on behalf of the differences in the elasticity of demand( RS i ,T),The index on behalf of the differences in the risk reward( Rd i ,T), the index on behalf of the differences in the investment philosophy( EPS i ,T),he index on behalf of the differences in the market segmentation( INX i ,T), all are through the test of significance. These seven variables play a decisive role on the A share and H share price differences in the sample period.
(2) The direction of information transfer between A shares and H shares is from A to H shares. The price of H shares is significantly affected by changes in share price of A, Therefore, there are some disadvantages for the H shares investor in getting the information, which inevitably leads to that the H shares require a higher rate of return. For the dual listed company equities, H shares investors wish to pay lower prices for higher returns, which lead to the H shares discount. The higher the degree of the information asymmetry, the lager the rate of the H share discount.
(3) The greater the turnover of the H shares than A shares, the smaller the price difference between A shares and H shares. Hypothesis of the differences in liquidity has some explanatory power for China's H shares Discounts. The smaller the actual flow ratio of the number of A shares and H shares, the greater the difference of the A share and H share prices, There is a certain elasticity of demand hypothesis to explain the phenomenon of the intensity of the H share discount. The smaller the ratio of variance yields of H shares relative to A shares, the lower the rate of return required by investors, the higher the H share price under the same conditions of returns, which lead the smaller differences between the A shares and H shares prices. There is a certain elasticity of differences in risk and return to explain the phenomenon of the H share discount. The smaller earnings per share, the larger the price difference between A shares and H shares. It is effective for the earnings per share to measure the difference in investment philosophy. The ratio of the Shanghai and Shenzhen 300 index to the Hang Seng Index in Hong Kong is an effective alternative index to measure the market segmentation. There is a certain interpretation power for the market segmentation hypothesis to the problem of H shares discounts.
本文从分析中国双重上市公司股价差异的典型化事实及国际比较入手。运用ICSS识别方差离散突变点、永久/暂时模型、信息分享模型、分整关系检验等方法对不同市场的波动特征和动态关联性进行考察;运用BEKK-MGARCH模型对双重上市公司内外资股股价的均值溢出效应和波动溢出效应进行识别;从投资理念差异与资本资产定价角度对股价差异问题进行实证考察;运用固定效应模型和随机效应模型对双重上市公司股价差异的现实表现及其核心影响因素进行实证检验。研究发现,内地沪深股票市场与香港股票市场在价格发现功能上存在互为影响的关系,这也在实证上进一步说明A股市场与成熟的证券市场之间存在很大差距,开放程度不高、市场结构不合理等情况依然存在。A股市场和H股市场的融合程度较高,H股股票的价格受到A股价格变化的影响显著,H股换手率相对于A股换手率越大,A股与H股的实际流通股数的比值越大,H股相对于A股的收益率方差的比值越小,每股收益越大,那么A股和H股的价差就越小。
鉴此提出,明确双重上市监管原则、完善内地新股发行制度、鼓励多种形式的发行模式、建立健全市场套利机制、加强资本市场信息披露、强化双重上市发行监管合作等参考政策。
Multi-listed companies with stock prices based on different market segmentation as the background. Market segmentation means the price differences of homogeneous products in different markets caused by the market barriers and differences. If the international capital market is fully integrated, two or more shares of listed companies in the expected cash flows and risk characteristics were the same, then stock prices with the same rights must be equivalent.
For the stock market, the defects of the market segmentation are obvious. Firstly,fot the existence of market segmentation, foreign investors can no t reduce risk through diversity investment, investors being dropped; Secondly, market segmentation inhibited the domestic investment channels, hampered the healthy development of enterprises; Thirdly, the market segmentation created barriers of international investment, hinted the process of internationalization of capital markets, inhibiting the development of national economic health. Be noted that we mentioned here the shortcomings of market segmentation is the general description of the macro level, market segmentation on the specific impact of the capital market also needs detailed analysis.
Eun and Janakiramanan (1986) for the first time studied the impact of stock ownership on stock prices. Then, many scholars made a lot of valuable research on this field. Most of the countries studied existed market segmentation. But in the research of market segmentation of China, the scholars found that no mater the H or B, the discount of foreign shares widespread.
The historical background of China’s stock market is Complex, with a very high degree of market segmentation. Domestic companies listed in both domestic and foreign markets has brought the re-adjustment of asset prices, however, there has special challenges that foreign share discount, which can not explain by the traditional theory. Characteristics of the Chinese market segmentation study to explore the core elements of price differences between the dual-listed companies, both at the theoretical level or practical level, are very valuable.
This article uses the empirical analysis, specification analysis, historical analysis and comparative analysis on the research of this topic. Theoretical analysis of the process always follows the theoretical analysis with reality inspection combination. for dual-listed company's properties and the common stock difference research of different theoretical hypothesis in China. The applicability of visits; in empirical analysis of the process, always adhere to the theoretical analysis of empirical analysis based on empirical analysis.
This article is divided to 7 chapters:
Chapter 1, the reality of investigation on the Chinese stock market shares of different price. Firstly, described the price differences of dual-listed companies was compared with the international capital market issues within the foreign share discounts the reality of the background, the text of the post-theoretical analysis and empirical study to provide realistic basis.
Chapter 2, on the price gap between the theoretical hypothesis and Related Research. The information asymmetry hypothesis, the elasticity of demand hypothesis, liquidity hypothesis, the traditional hypothesis of investor differences brief review of the theoretical model, the system sort out the problem of dual-listed company's share price between the theoretical development context for the empirical analysis later in theory.
Chapter 3, different market shares of the dynamic correlation measure. The use of permanent /temporary model, information-sharing model, sub-integration relationship between the different test methods such as market volatility characteristics and dynamic association to inspect.
Chapter 4, the stock linkage of Information Transmission identification. Construction of this chapter, the theoretical model and empirical test all hypotheses based on information asymmetry. BEKK-MGARCH model using the dual listed foreign shares of the company's average stock price spillovers and volatility spillovers in the empirical test.
Chapter 5, investment and price differences between rational correlation. Writing this chapter different investment philosophy based on the hypothesis. Investment philosophy based Hietala differentiation model and Sharpe's capital asset pricing model in China and double the price gap between the shares of listed companies to empirical investigation.
Chapter 6, the share price difference between the panel data analysis of influencing factors. Through the fixed effect model and random effect model, the price of foreign shares in the mainland to identify differences in impact factors, trying to find a core element of price differences and the impact of direction and size.
Chapter 7, the share price difference of the Comprehensive Evaluation and Policy Implications. Chinese share prices under different market segmentation problem to comprehensive evaluation, summarized the reasons for price differences, and different prices for shares of the phenomenon of China and given the appropriate policy recommendations.
Analysis methods were used to standardize the analysis, historical analysis, and comparative analysis, the Chinese stock market Segment the price gap between the findings were as follows.
1. Different market dynamic relevance stocks empirical conclusions:
(1) the use of information-sharing model calculations, A-share market price discovery has 14 listed companies was higher than its H-share market price discovery. The use of permanent / temporary model calculations, A-share market price discovery has 12 listed companies than its A-share market price discovery.
(2) Permanent / temporary model does not take into account new information variance - covariance matrix, so the judge for information superiority is different, especially when the information shares of close to 1 / 2, the more apparent. A-share market than the H-share market price discovery ability to be strong, both from statistical numerical point of view or from the number of shares is true, but it should be noted, H-share market is also the important role that can not be ignored.
(3) Theoretical analysis and practical investigation concluded that the dual listed companies in their domestic markets tend to price discovery in a dominant position. Evidence, we find that China's market there are differences with this thesis, the Mainland and Hong Kong stock markets in Shanghai and Shenzhen stock markets affect the relationship between each other, which is also positive on the A-share market further information between the stock exchanges and there is a big mature gap open is not high, the market structure is irrational, and so on remain. And
(4) integration test results show that the H shares and A shares in the closing price of no cointegration sequence of 12 listed companies, in addition to Luoyang Glass accident, H shares and other listed companies closing price of A shares after the time-series regression residual first-order difference sequence d values were rejected by the assumption d = 0, indicating that the 11 companies listed H shares and A shares closing price of certain sequences between this conclusion and our theory is the same judge. H shares issued by the same company stock price of it’s A shares have a short-term impact, but the impact would ultimately disappear.
2. Stock linkage of Information Transmission identify the relevant conclusions:
(1) Hong Kong securities market and the Shanghai A-share market results showed that the mean spillover effect, that there is no guidance from the Hong Kong Shanghai A-share market stock market mean spillover effect, nor is there from Shanghai A-share market to the Hong Kong stock market's average overflow effect, the two market returns are independent of each other.
(2) Hong Kong securities market with the Shanghai A-share market volatility spillover effects test results showed that fluctuations in the two markets is mutually independent.
(3) The Hong Kong stock market and Shenzhen A-share market's average test results show that the spillover effect, in the two markets, and that means there is no stock market from Hong Kong to Shenzhen A-share market's average spillover effect, nor is there from the Shenzhen A shares Hong Kong stock market to the mean spillover effect, the two market returns are independent of each other.
(4) Hong Kong stock market and Shenzhen A-share market volatility spillover effects test results showed that the Shenzhen A-share market volatility by the Hong Kong stock market fluctuations in significant fluctuations in the securities market in Hong Kong by the Shenzhen A-share market will be significantly influenced fluctuations, the volatility of the market presence of two reciprocal relationships.
(5) Hong Kong stock market and Shenzhen A-share market volatility spillover effects two-way presence, further proof of the mainland capital market and capital market in Hong Kong has a high degree of integration with the mainland capital market openness gradually deepened, the two markets the investors will be gradually integrated. At the same time, there is no Shanghai A-share market and Hong Kong securities market information transmission between the effect of, nor the arbitrary that the Mainland and Hong Kong Capital Markets division entirely, from the perspective of economic ties, between the Mainland and Hong Kong is deepening, but In Hong Kong's capital market, the mainland capital market is relatively closed and backward. We can expect that as mainland companies listed in Hong Kong funding to speed up the frequency gradually, the scale increased, the Mainland and Hong Kong's capital market will become increasingly close ties between the two information transmissions between markets will be more significant.
3 The empirical findings of the correlation analysis with the investment rational differences and price differences.
(1)There are several empirical conclusions in Shanghai market as follows. First, the choice of the period between rate of return affects the integration of the test results, using monthly returns is better than Biweekly returns. The integration of B-share market and the whole stock market shows the trend of enhanced. Third, the integration of the dual listed company's B shares and the stock market is significantly stronger than the company issued B shares only.
(2)There are several empirical conclusions in Shenzhen market as follows. First, the integration with bi-weekly rate of return is stronger than the integration with monthly rate of return. Second, by using of bi-weekly rate of return, the integration are very strong in B shares and the market in two time periods. Third, the integration of the dual listed company's B shares and the stock market is significantly stronger than the company issued B shares only.
(3) The integration is strong for the B shares in Shanghai and Shenzhen stock markets with the whole market. Since the integration is sensitive to the choice of return interval, we can not draw conclusions that B shares and the stock markets are fully integrated. Especially for the companies only issue B shares; the degree of integration is relatively poor. At this point, we believe that B-share market and the stock markets are integrated on a certain extent, in view of the most important part of the whole stock market is A-share market, therefore, we believe the A shares and B shares is the higher degree of integration. Or a little more rigorous, we believe that A-share market and B-share market is Mild-Segmentation.
4. Price differences in factors of panel data analysis conclusion:
The index on behalf of the asymmetric information fundamentals ( MVi ,T),The index on behalf of the transaction information fundamentals( AIE Ai ,T)、The index on behalf of the differences in liquidity( RTN i ,T),The index on behalf of the differences in the elasticity of demand( RS i ,T),The index on behalf of the differences in the risk reward( Rd i ,T), the index on behalf of the differences in the investment philosophy( EPS i ,T),he index on behalf of the differences in the market segmentation( INX i ,T), all are through the test of significance. These seven variables play a decisive role on the A share and H share price differences in the sample period.
(2) The direction of information transfer between A shares and H shares is from A to H shares. The price of H shares is significantly affected by changes in share price of A, Therefore, there are some disadvantages for the H shares investor in getting the information, which inevitably leads to that the H shares require a higher rate of return. For the dual listed company equities, H shares investors wish to pay lower prices for higher returns, which lead to the H shares discount. The higher the degree of the information asymmetry, the lager the rate of the H share discount.
(3) The greater the turnover of the H shares than A shares, the smaller the price difference between A shares and H shares. Hypothesis of the differences in liquidity has some explanatory power for China's H shares Discounts. The smaller the actual flow ratio of the number of A shares and H shares, the greater the difference of the A share and H share prices, There is a certain elasticity of demand hypothesis to explain the phenomenon of the intensity of the H share discount. The smaller the ratio of variance yields of H shares relative to A shares, the lower the rate of return required by investors, the higher the H share price under the same conditions of returns, which lead the smaller differences between the A shares and H shares prices. There is a certain elasticity of differences in risk and return to explain the phenomenon of the H share discount. The smaller earnings per share, the larger the price difference between A shares and H shares. It is effective for the earnings per share to measure the difference in investment philosophy. The ratio of the Shanghai and Shenzhen 300 index to the Hang Seng Index in Hong Kong is an effective alternative index to measure the market segmentation. There is a certain interpretation power for the market segmentation hypothesis to the problem of H shares discounts.
引文
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