我国上市公司A＋H股双重上市的价格行为研究
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摘要
A+H股双重上市公司股票价格在两个市场存在的巨大差异,意味着两个市场间的套利行为受到极大限制,也说明A、H股市场存在着严重的市场分割。资本市场分割会阻碍国际投资,限制企业的融资渠道,影响企业的发展,延缓资本市场的国际化进程。根据双重上市公司股票价格的表现来推测股票市场分割的形式和变化趋势,进而研究消除分割的方法具有重大的政策意义。
本文利用Johansen协整检验、Granger因果检验、预测方差分解和脉冲响应等多种方法首先对内地A股市场和香港市场的主要指数进行市场分割的实证研究,发现两个市场之间存在一定的分割,在B股开放之前市场分割现象严重,随后的B股向境内投资者开放、H股股指期货的推出及股权分置改革促进了两市场的整合。且两个市场都对A+H股双重上市公司股票价格发现起了一定的作用,但股改前后两市场的主导地位对不同的股票有所变化。市场之间的联动关系在不断调整。股改后的格兰杰因果检验的结果更加显著。
其次重点对A+H股双重上市公司股票的价格序列进行了实证研究,并建立VECM模型研究了双重上市公司股票的价格行为,发现有部分股票的A股和H股的价格之间存在协整关系,两个市场间的价格互动关系明显;并且有部分股票在股改后开始出现H股溢价的现象,这与学术上被称为“中国股票市场之谜”的中国外资股折价现象不同。这说明了A股市场和H股市场的联系逐渐加深。
When a stock is listed in both A-shares market and H-shares market in China, there is a price gap between the two markets. It means arbitrage is limited and there is heavy market segmentation in these markets. Capital market segmentation may obstruct the international investment, restrict the way of the corporation financing, disturb the companies' development, and postpone the corporations' internationalization. We can use the price behavior of the A+H cross-listed stocks to explore the form and the trend of the market segmentation to study the methods to avoid the segmentation.
First, this paper uses some empirical methods to test the A and H markets indexes and A+ H cross-listed stocks, such as: the Johansen Cointegration Tests, Granger Causality Tests, Variance Decompositions, and Impluse Response. By this empirical research, I find there is segmentation between the Mainland and the Hong Kong markets. However, B shares has been opened to the mainland investors while H-shares indexes has been introduced. Besides, the reform on equity segmentation has been taken off. All these actions enhanced the correlation between the A-shares market and H-shares market. At the same time, both markets contribute to price discovery, but the depth of the effect is different after the reform on the equity segmentation. The correlation of the two markets is adjusted gradually. And after the reform on the equity segmentation, the Granger Causality test seems more significant.
Then we can estimate an error correction model (ECM) to study the behavior of the A+H cross-listed stocks. I find there are several shares which listed in the both market have certain correlation, and the correlation significantly enhanced. And price premium has occurred on several H-shares. It is different from the price discount of foreign shares called "the puzzle of the Chinese capital market". It also indicates that the correlation between the two markets is deeper and deeper.
本文利用Johansen协整检验、Granger因果检验、预测方差分解和脉冲响应等多种方法首先对内地A股市场和香港市场的主要指数进行市场分割的实证研究,发现两个市场之间存在一定的分割,在B股开放之前市场分割现象严重,随后的B股向境内投资者开放、H股股指期货的推出及股权分置改革促进了两市场的整合。且两个市场都对A+H股双重上市公司股票价格发现起了一定的作用,但股改前后两市场的主导地位对不同的股票有所变化。市场之间的联动关系在不断调整。股改后的格兰杰因果检验的结果更加显著。
其次重点对A+H股双重上市公司股票的价格序列进行了实证研究,并建立VECM模型研究了双重上市公司股票的价格行为,发现有部分股票的A股和H股的价格之间存在协整关系,两个市场间的价格互动关系明显;并且有部分股票在股改后开始出现H股溢价的现象,这与学术上被称为“中国股票市场之谜”的中国外资股折价现象不同。这说明了A股市场和H股市场的联系逐渐加深。
When a stock is listed in both A-shares market and H-shares market in China, there is a price gap between the two markets. It means arbitrage is limited and there is heavy market segmentation in these markets. Capital market segmentation may obstruct the international investment, restrict the way of the corporation financing, disturb the companies' development, and postpone the corporations' internationalization. We can use the price behavior of the A+H cross-listed stocks to explore the form and the trend of the market segmentation to study the methods to avoid the segmentation.
First, this paper uses some empirical methods to test the A and H markets indexes and A+ H cross-listed stocks, such as: the Johansen Cointegration Tests, Granger Causality Tests, Variance Decompositions, and Impluse Response. By this empirical research, I find there is segmentation between the Mainland and the Hong Kong markets. However, B shares has been opened to the mainland investors while H-shares indexes has been introduced. Besides, the reform on equity segmentation has been taken off. All these actions enhanced the correlation between the A-shares market and H-shares market. At the same time, both markets contribute to price discovery, but the depth of the effect is different after the reform on the equity segmentation. The correlation of the two markets is adjusted gradually. And after the reform on the equity segmentation, the Granger Causality test seems more significant.
Then we can estimate an error correction model (ECM) to study the behavior of the A+H cross-listed stocks. I find there are several shares which listed in the both market have certain correlation, and the correlation significantly enhanced. And price premium has occurred on several H-shares. It is different from the price discount of foreign shares called "the puzzle of the Chinese capital market". It also indicates that the correlation between the two markets is deeper and deeper.
引文
[1]Alexander.G., Eun.C. S., & Janakiranam.S.(1988). International listings and stock returns: Some empirical evidence. Journal of Financial and Quantitative Analysis, 23,35-151.
[2] Jayaraman.N., Shastri.K., & Tandon.K. (1993). The impact of international cross listings on risk and return: Evidence from American depositary receipts. Journal of Banking and Finance, 17,91 - 103.
[3] Sundaram.A., & Logue.D. (1996). Valuation effects of foreign company listing on US exchanges. Journal of International Business Studies, 27,67 - 88.
[4] Foerster.S., & Karolyi.G. A. (1993). International listings: The case of Canada and the US. Journal of International Business Studies, 24(4), 763 - 780.
[5] Noronha.G. M., Sarin. A., & Saudagaran.S. M. (1996). Testing for micro-structure effects of international dual listings using intraday data. Journal of Banking and Finance, 20, 965 - 983.
[6] Saudagaran.S. M. (1988, Spring). An empirical study of selected factors influencing the decision to list on foreign stock exchanges. Journal of International Business Studies, 101,127.
[7] Saudagaran.S. M., & Biddle.G. C. (1992, Summer). Financial disclosure levels and foreign stock exchange listing. Journal of International Management & Accounting, 4(2), 106 - 148.
[8] Kryzanowski, L., & Zhang, H. (2002). Intraday market price integration for shares cross-listed internationally. Journal of Financial and Quantitative Analysis, 37(2), 243 -269.
[9] Lowengrub.P., & Melvin.M. (2002). Before and after international cross-listing:An intraday examination of volume and volatility. Journal of International Financial Markets, Institutions & Money, 12(2), 139 - 155.
[10] Werner.I. M., & Kleidon, A. W. (1996). UK and US trading of British cross-listed stocks: An intraday analysis of market integration. Review of Financial Studies, 9(2), 619-664.
[11] Froot, K., & Dabora, E. (1999). How are prices affected by location of trade?Journal of Financial Economics, 52,189 - 216.
[12] Stehle, Richard, An Empirical Test of the Alternative Hypotheses of National and International Pricing of Risky Assets, Journal of Finance, 1977:439-502
[13] Errunza V and E losq, International asset pricing under mild segmentation:theory and test, Journal of Finance, 1985:105-124
[14] Harris.F. H., McInish.T. H., Shoesmith.G. L., &Wood, R. A. (1995).Cointegration, error correction, and price discovery on informationally linked security markets. Journal of Financial and Quantitative Analysis, 30(4), 563 - 579.
[15] Schreiber, P. S., & Schwartz, R. A. (1986). Price discovery in securities markets. Journal of Portfolio Management, 12,43 - 48.
[16] Bhattacharya, K., & Das, S. (2002). Price discovery at the beginning of the trading day: An error correction model for the Indian capital market. Applied Economics Letters, 9, 529 - 535.
[17] Cao, C., Ghysels, E., & Hatheway, F. (2000). Price discovery without trading: Evidence from the NASDAQ preopening. Journal of Finance, 50(3), 1339 - 1365.
[18] Kim, M., Szakmary, A. C., & Schwarz, T. V. (1999). Trading costs and price discovery across stock index futures and cash markets. Journal of Futures Markets, 19,475 - 498.
[19] Ling, T. H. (1997). Price discovery in the Hong Kong security markets: Evidence from cointegration tests. Journal of International Financial Markets, Institutions & Money, 7, 157 - 169.
[20] Roope, M., & Zurbruegg, R. (2002). The intra-day price discovery process between the Singapore exchange and Taiwan futures exchange. Journal of Futures Markets, 22(3), 221 -242.
[21] Grammig, J., Melvin, M., & Schlag, C. (2005). Internationally cross-listed stock prices during overlapping trading hours: Price discovery and exchange rate effects. Journal of Empirical Finance, 12(1), 139 - 164.
[22] Ding, D. K., Harris, F. H., Lau, S. T., & McInish, T. H. (1999). An investigation of price discovery in informationally linked markets: Equity trading in Malaysia and Singapore. Journal of Multinational Financial Management, 9,317 - 329.
[23] Lieberman, O., Ben-Zion, U., & Hauser, S. (1999). A characterization of the price behavior of international dual stocks: An error correction approach. Journal of International Money and Finance, 18,289 - 304.
[24] Hupperets, E. C. J., & Menkveld, A. J. (2002). Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York. Journal of Financial Markets, 5(1), 57 - 82.
[25] Garbade, K. D., & Silber,W. L. (1979). Dominant and satellite markets: A study of dually-listed securities. The Review of Economics and Statistics, 61,455 - 460.
[26] Eun, C. S., & Sabherwal, S. (2003). Cross-border listings and price discovery:Evidence from US-listed Canadian stocks. Journal of Finance, 58(2), 549 - 575.
[27] Kato, K., Linn, S., & Schallheim, J. (1991). Are there arbitrage opportunities in the market for American Depositary Receipts. Journal of International Financial Markets, Institutions & Money, 1, 73 - 89.
[28] Wahab, M., Lashgari, M., & Cohn, R. (1992). Arbitrage opportunities in the American depository receipts markets revisited. Journal of Financial and Quantitative Analysis, 23, 285 - 300.
[29] Hupperets, E. C. J., & Menkveld, A. J. (2002). Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York. Journal of Financial Markets. 5(1). 57 - 82.
[30] Lieberman, O., Ben-Zion, U., & Hauser, S. (1999). A characterization of the price behavior of international dual stocks: An error correction approach. Journal of International Money and Finance, 18, 289 - 304.
[31] Karolyi, G.A. (2004). The world of cross-listings and cross-listings of the world, challenging conventional wisdom. Ohio State University working paper.
[32] Ding. D. K., Harris. F. H., Lau, S. T., & Mclnish, T. H. (1999). An investigation of price discovery in informationallylinked markets:Equity trading in Malaysia and Singapore.Journal of Multinational Financial Management,9,317-329.
[33]Lieberman,O.,Ben-Zion,U.,& Hauser,S.(1999).A characterization of the price behavior of international dual stocks:An error correction approach.Journal of International Money and Finance,18,289-304.
[34]Grammig,J.,Melvin,M.,& Schlag,C.(2005).Internationally cross-listed stock prices during overlapping trading hours:Price discovery and exchange rate effects.Journal of Empirical Finance,12(1),139-164.
[35]王立彦,冯子敏.A股和H股上市公司双重财务报表价值相关性.经济科学,2002,第6期:75-83
[36]王凯涛,孙开连,陈金贤.我国AB股双重上市公司经营业绩变化的实证分析.数理统计与管理,2004年3月:28-34
[37]田素华,何仁科.境外上市企业在国内融资的可行性和主要障碍.管理世界,2002,第5期,116-125
[38]王正喜.大陆和香港股票发行、上市制度的比较.财政金融,2004,9,159-160
[39]韩德宗.A股和H股市场软分割因素研究——兼论推出QDII的步骤和时机.商业经济与管理,2006年3月,42-46
[40]刘昕.中国AH股市场分割的根源分析.南开管理评论,2004年第5期,19-23
[41]田素华.境外交叉上市企业IPO价格差异研究.世界经济,2002,10,49-56
[42]王维安,白娜.A股与H股价格差异的实证研究.华南金融研究,2004年4月,2,31-39
[43]朱云,吴文峰等.市场分割下的股价微观行为及其金融学解释.系统工程理论与实践,2006年10期,10,25-29
[44]田瑛.深交所A、B股指波动的协整检验和因果分析.沿海企业与科技,2006年,10,195-197
[45]金登贵.中国证券市场的价格发现过程.财经论坛,2005年4月,88-90
[46]俞世典,陈守东,黄立华.主要股票指数的联动分析.统计研究,2001,8,42-46
[47]李志强.谁决定H股的走势.工业技术经济,2006年6月,6,146-149
[48]陈守东,韩广哲,荆伟.主要股票市场指数与我国股票市场指数问的协整分析.数量经济技术经济研究,2003,5,124-129
[49]殷玲.中国股市主要股票指数的联动分析.企业经济,2005,3,191-193
[50]赵娜.利用ECM模型实证分析沪深两市的信用风险.经济论坛,2006,109-110
[5l]赵留彦,王一鸣.沪深股市交易量与收益率及其波动性的相关性:来自实证分析的证据.经济科学,2003,2,57-67
[52]陈昀,王韬.西方企业国际双重上市研究评价及其启示.外国经济与管理,2006,6,42-48
[53]钟鸣.A股和H股互动关系的研究:[硕士学位论文].上海:上海财经大学,2006
[2] Jayaraman.N., Shastri.K., & Tandon.K. (1993). The impact of international cross listings on risk and return: Evidence from American depositary receipts. Journal of Banking and Finance, 17,91 - 103.
[3] Sundaram.A., & Logue.D. (1996). Valuation effects of foreign company listing on US exchanges. Journal of International Business Studies, 27,67 - 88.
[4] Foerster.S., & Karolyi.G. A. (1993). International listings: The case of Canada and the US. Journal of International Business Studies, 24(4), 763 - 780.
[5] Noronha.G. M., Sarin. A., & Saudagaran.S. M. (1996). Testing for micro-structure effects of international dual listings using intraday data. Journal of Banking and Finance, 20, 965 - 983.
[6] Saudagaran.S. M. (1988, Spring). An empirical study of selected factors influencing the decision to list on foreign stock exchanges. Journal of International Business Studies, 101,127.
[7] Saudagaran.S. M., & Biddle.G. C. (1992, Summer). Financial disclosure levels and foreign stock exchange listing. Journal of International Management & Accounting, 4(2), 106 - 148.
[8] Kryzanowski, L., & Zhang, H. (2002). Intraday market price integration for shares cross-listed internationally. Journal of Financial and Quantitative Analysis, 37(2), 243 -269.
[9] Lowengrub.P., & Melvin.M. (2002). Before and after international cross-listing:An intraday examination of volume and volatility. Journal of International Financial Markets, Institutions & Money, 12(2), 139 - 155.
[10] Werner.I. M., & Kleidon, A. W. (1996). UK and US trading of British cross-listed stocks: An intraday analysis of market integration. Review of Financial Studies, 9(2), 619-664.
[11] Froot, K., & Dabora, E. (1999). How are prices affected by location of trade?Journal of Financial Economics, 52,189 - 216.
[12] Stehle, Richard, An Empirical Test of the Alternative Hypotheses of National and International Pricing of Risky Assets, Journal of Finance, 1977:439-502
[13] Errunza V and E losq, International asset pricing under mild segmentation:theory and test, Journal of Finance, 1985:105-124
[14] Harris.F. H., McInish.T. H., Shoesmith.G. L., &Wood, R. A. (1995).Cointegration, error correction, and price discovery on informationally linked security markets. Journal of Financial and Quantitative Analysis, 30(4), 563 - 579.
[15] Schreiber, P. S., & Schwartz, R. A. (1986). Price discovery in securities markets. Journal of Portfolio Management, 12,43 - 48.
[16] Bhattacharya, K., & Das, S. (2002). Price discovery at the beginning of the trading day: An error correction model for the Indian capital market. Applied Economics Letters, 9, 529 - 535.
[17] Cao, C., Ghysels, E., & Hatheway, F. (2000). Price discovery without trading: Evidence from the NASDAQ preopening. Journal of Finance, 50(3), 1339 - 1365.
[18] Kim, M., Szakmary, A. C., & Schwarz, T. V. (1999). Trading costs and price discovery across stock index futures and cash markets. Journal of Futures Markets, 19,475 - 498.
[19] Ling, T. H. (1997). Price discovery in the Hong Kong security markets: Evidence from cointegration tests. Journal of International Financial Markets, Institutions & Money, 7, 157 - 169.
[20] Roope, M., & Zurbruegg, R. (2002). The intra-day price discovery process between the Singapore exchange and Taiwan futures exchange. Journal of Futures Markets, 22(3), 221 -242.
[21] Grammig, J., Melvin, M., & Schlag, C. (2005). Internationally cross-listed stock prices during overlapping trading hours: Price discovery and exchange rate effects. Journal of Empirical Finance, 12(1), 139 - 164.
[22] Ding, D. K., Harris, F. H., Lau, S. T., & McInish, T. H. (1999). An investigation of price discovery in informationally linked markets: Equity trading in Malaysia and Singapore. Journal of Multinational Financial Management, 9,317 - 329.
[23] Lieberman, O., Ben-Zion, U., & Hauser, S. (1999). A characterization of the price behavior of international dual stocks: An error correction approach. Journal of International Money and Finance, 18,289 - 304.
[24] Hupperets, E. C. J., & Menkveld, A. J. (2002). Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York. Journal of Financial Markets, 5(1), 57 - 82.
[25] Garbade, K. D., & Silber,W. L. (1979). Dominant and satellite markets: A study of dually-listed securities. The Review of Economics and Statistics, 61,455 - 460.
[26] Eun, C. S., & Sabherwal, S. (2003). Cross-border listings and price discovery:Evidence from US-listed Canadian stocks. Journal of Finance, 58(2), 549 - 575.
[27] Kato, K., Linn, S., & Schallheim, J. (1991). Are there arbitrage opportunities in the market for American Depositary Receipts. Journal of International Financial Markets, Institutions & Money, 1, 73 - 89.
[28] Wahab, M., Lashgari, M., & Cohn, R. (1992). Arbitrage opportunities in the American depository receipts markets revisited. Journal of Financial and Quantitative Analysis, 23, 285 - 300.
[29] Hupperets, E. C. J., & Menkveld, A. J. (2002). Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York. Journal of Financial Markets. 5(1). 57 - 82.
[30] Lieberman, O., Ben-Zion, U., & Hauser, S. (1999). A characterization of the price behavior of international dual stocks: An error correction approach. Journal of International Money and Finance, 18, 289 - 304.
[31] Karolyi, G.A. (2004). The world of cross-listings and cross-listings of the world, challenging conventional wisdom. Ohio State University working paper.
[32] Ding. D. K., Harris. F. H., Lau, S. T., & Mclnish, T. H. (1999). An investigation of price discovery in informationallylinked markets:Equity trading in Malaysia and Singapore.Journal of Multinational Financial Management,9,317-329.
[33]Lieberman,O.,Ben-Zion,U.,& Hauser,S.(1999).A characterization of the price behavior of international dual stocks:An error correction approach.Journal of International Money and Finance,18,289-304.
[34]Grammig,J.,Melvin,M.,& Schlag,C.(2005).Internationally cross-listed stock prices during overlapping trading hours:Price discovery and exchange rate effects.Journal of Empirical Finance,12(1),139-164.
[35]王立彦,冯子敏.A股和H股上市公司双重财务报表价值相关性.经济科学,2002,第6期:75-83
[36]王凯涛,孙开连,陈金贤.我国AB股双重上市公司经营业绩变化的实证分析.数理统计与管理,2004年3月:28-34
[37]田素华,何仁科.境外上市企业在国内融资的可行性和主要障碍.管理世界,2002,第5期,116-125
[38]王正喜.大陆和香港股票发行、上市制度的比较.财政金融,2004,9,159-160
[39]韩德宗.A股和H股市场软分割因素研究——兼论推出QDII的步骤和时机.商业经济与管理,2006年3月,42-46
[40]刘昕.中国AH股市场分割的根源分析.南开管理评论,2004年第5期,19-23
[41]田素华.境外交叉上市企业IPO价格差异研究.世界经济,2002,10,49-56
[42]王维安,白娜.A股与H股价格差异的实证研究.华南金融研究,2004年4月,2,31-39
[43]朱云,吴文峰等.市场分割下的股价微观行为及其金融学解释.系统工程理论与实践,2006年10期,10,25-29
[44]田瑛.深交所A、B股指波动的协整检验和因果分析.沿海企业与科技,2006年,10,195-197
[45]金登贵.中国证券市场的价格发现过程.财经论坛,2005年4月,88-90
[46]俞世典,陈守东,黄立华.主要股票指数的联动分析.统计研究,2001,8,42-46
[47]李志强.谁决定H股的走势.工业技术经济,2006年6月,6,146-149
[48]陈守东,韩广哲,荆伟.主要股票市场指数与我国股票市场指数问的协整分析.数量经济技术经济研究,2003,5,124-129
[49]殷玲.中国股市主要股票指数的联动分析.企业经济,2005,3,191-193
[50]赵娜.利用ECM模型实证分析沪深两市的信用风险.经济论坛,2006,109-110
[5l]赵留彦,王一鸣.沪深股市交易量与收益率及其波动性的相关性:来自实证分析的证据.经济科学,2003,2,57-67
[52]陈昀,王韬.西方企业国际双重上市研究评价及其启示.外国经济与管理,2006,6,42-48
[53]钟鸣.A股和H股互动关系的研究:[硕士学位论文].上海:上海财经大学,2006