A股为什么相对于H股溢价？
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摘要
1970年代以来，西方学者对国际资本市场上交叉上市公司的“同股不同价”问题进行了大量的理论分析和实证研究，他们提出了国际资产定价模型、市场分割假说、流动性差异假说、信息不对称假说、需求弹性差异假说，并尝试着运用行为金融学理论对某些“孪生”股票的价格差异问题进行解释。不过，当西方学者把研究目光投向中国的“A+B”和“A+H”交叉上市公司时，面对内资股(A股)相对于外资股大幅度溢价的现象，他们要么简单地称之为“特例”(Bailey etal．，1999)，要么就不解地称之为“谜题”(Fernald and Rogers，2000)，究其原因，是现有的理论虽能对交叉上市公司外资股溢价现象做出较好的解释，却不能对交叉上市公司内资股溢价的“中国之谜”做出令人信服的说明。
1990年代以来，针对我国“A+B”股价格差异的研究渐渐多了起来。但资本市场发展的实践表明，H股市场比B股市场更为重要；截止2008年6月30日，在内地和香港市场上已经有55家“A+H”交叉上市公司了，令人遗憾的是，针对“A+H”股价格差异的研究还不多。因此，本文围绕着“A-H股溢价之谜”，对A-H股溢价的产生条件、表现形态、影响因素等进行了较为系统的研究。
全文分为七章，具体安排如下：
首先，第一章介绍了研究的背景、意义、思路、方法、创新点及不足之处。
其次，通过对有关研究文献的回顾(第二章)和交叉上市公司内外资股价格差异的国内外比较(第三章)，发现“A-H股溢价之谜”确实存在。
接下来，第四、五、六章分别不同角度来分析A-H溢价的成因和影响因素。
第四章分析了A股IPO定价溢价率对A-H股溢价率的影响。研究发现：A股IPO定价溢价率与A-H股二级市场溢价率之间存在显著的正相关关系。其主要原因是：在A股交叉上市后较短的时间内，当初影响A股IPO定价溢价率的因素将继续影响A-H股二级市场溢价率。不过，A-H二级市场股溢价率远高于A股IPO定价溢价率，这主要是由A股抑价发行所造成的。
第五章分析了市场分割对A-H股溢价率的影响。研究发现：我国股票市场分割的情形具有一定的特殊性，A股市场与港股市场之间表现出“非对称分割”的特征；在跨境资本流动受到控制的情况下，内地和香港资金面的相对松紧程度是影响A+H上市公司A股溢价率的重要因素。
第六章发现四个微观因素对A-H股溢价率具有显著影响，它们是内外资股的流动性差异，非流通A股比例，两地投资者行为差异，以及两地投资者的信息不对称程度。其中，数量庞大的非流通股带来的A股二级市场供应短缺，是导致A-H股溢价的重要原因。在其他条件不变的情况下，非流通股比例每降低1个百分点，A-H股溢价率将会降低3．5个百分点。
最后，第七章对全文加以总结，并就未来较长时间内我国资本市场分割状况以及A-H股溢价率的变动趋势做出了展望。
Since the 1970s,Western scholars have conducted so much research boththeoretically and empirically on the issue of“one stock with many prices”which isgenerally observed in cross-listed companies,that they proposed various internationalasset pricing models,market seg-mentation hypothesis,liquidity differentialshypothesis,information asymmetry hypothesis,demand elasticity differentialshypothesis,and tried to use behavioral financial theory to explain the pricingdifferences of certain“twin”stocks. Generally speaking,their theoretical explanationswent well with the phenomenon of foreign shares premiums relative to domesticshares in most international stock markets. However,when dealing with China's“A+B”and“A+H”cross-listed companies,Western scholars feel at a loss for thesignificant premiums of A shares (domestic shares) relative to B or H shares (foreignshares). As a result,they simply called A share premiums as a“special case”(Bailey etal.,1999),or admit the Chinese case to be a“Puzzle”(Fernald and Rogers,2000).
Since the 1990s,more and more research has be carried out as to the pricedifferentials of China's“A+B”shares. However,H-share market is more importantthan the B-share market,and there're already 55“A+H”cross-listed companies by2008-06-30. So it's a pity that rare studies have been made as to the pricingdifferences of“A+H”shares. Therefore,it is of great use of investigating into the“Puzzle”of A-H share premium,taking“A+H”cross-listed companies as specimen.
The dissertation is composed of seven chapters:
Firstly,Chapter One gives the background,the importance,the strcuture,themethods,as well as the innovations and shortcomings of the study.
Secondly,through literature review (Chapter Two) and comparison of the pricedifferen-tials of cross-listed companies both at home and abroard (Chapter Three),weconfirm the“Puzzle of A-H Share Premium”.
Thirdly,we look into the causes and influencing factors of A-H Share Premiumfrom three angles-
Chapter Four deals with the impact of A-Share's IPO pricing upon A-H Sharepremium. A strong correlation is found between A-Share's IPO pricing premium(relative to H-Share prices) and A-H Share premium. However,A-H Share premium ismuch higher than A-Share's IPO pricing premium,and the main cause lies in under-pricing in A-Share's initial public offering.
Chapter Five analyses the impact of market segmentation on A-H Share premium.China's stock market demonstrates unique features in market segmention. Undercontrol of cross-border capital flows,the A-share market is highly closed from theworld market (including Hong Kong stock market),thus the monetary foctorrepresented by basic pionts spread of deposit interests of Mainland and Hong Kong isa key factor influncing the magnitude of A-H premiums.
Chapter Six finds that four micro-factors-liquidity differences between A and Hshares,the proportion of non-tradable A-Shares,behavioral differences between A andH shareholders,and information asymmetry between A and H shareholders-are allcontributable to A-H Share Premium. Especially,empirical study finds that A share'spremium rate will decrease by 3.5 percentage points for every one percentage point'sdecrease in the proportion of non-tradable A-shares,with other conditions unchanged.
Finally,Chapter Seven consists of a summary of the whole study and a prospect ofChina's capital market segmentation and the trend of A-H premiums in the future.
1990年代以来，针对我国“A+B”股价格差异的研究渐渐多了起来。但资本市场发展的实践表明，H股市场比B股市场更为重要；截止2008年6月30日，在内地和香港市场上已经有55家“A+H”交叉上市公司了，令人遗憾的是，针对“A+H”股价格差异的研究还不多。因此，本文围绕着“A-H股溢价之谜”，对A-H股溢价的产生条件、表现形态、影响因素等进行了较为系统的研究。
全文分为七章，具体安排如下：
首先，第一章介绍了研究的背景、意义、思路、方法、创新点及不足之处。
其次，通过对有关研究文献的回顾(第二章)和交叉上市公司内外资股价格差异的国内外比较(第三章)，发现“A-H股溢价之谜”确实存在。
接下来，第四、五、六章分别不同角度来分析A-H溢价的成因和影响因素。
第四章分析了A股IPO定价溢价率对A-H股溢价率的影响。研究发现：A股IPO定价溢价率与A-H股二级市场溢价率之间存在显著的正相关关系。其主要原因是：在A股交叉上市后较短的时间内，当初影响A股IPO定价溢价率的因素将继续影响A-H股二级市场溢价率。不过，A-H二级市场股溢价率远高于A股IPO定价溢价率，这主要是由A股抑价发行所造成的。
第五章分析了市场分割对A-H股溢价率的影响。研究发现：我国股票市场分割的情形具有一定的特殊性，A股市场与港股市场之间表现出“非对称分割”的特征；在跨境资本流动受到控制的情况下，内地和香港资金面的相对松紧程度是影响A+H上市公司A股溢价率的重要因素。
第六章发现四个微观因素对A-H股溢价率具有显著影响，它们是内外资股的流动性差异，非流通A股比例，两地投资者行为差异，以及两地投资者的信息不对称程度。其中，数量庞大的非流通股带来的A股二级市场供应短缺，是导致A-H股溢价的重要原因。在其他条件不变的情况下，非流通股比例每降低1个百分点，A-H股溢价率将会降低3．5个百分点。
最后，第七章对全文加以总结，并就未来较长时间内我国资本市场分割状况以及A-H股溢价率的变动趋势做出了展望。
Since the 1970s,Western scholars have conducted so much research boththeoretically and empirically on the issue of“one stock with many prices”which isgenerally observed in cross-listed companies,that they proposed various internationalasset pricing models,market seg-mentation hypothesis,liquidity differentialshypothesis,information asymmetry hypothesis,demand elasticity differentialshypothesis,and tried to use behavioral financial theory to explain the pricingdifferences of certain“twin”stocks. Generally speaking,their theoretical explanationswent well with the phenomenon of foreign shares premiums relative to domesticshares in most international stock markets. However,when dealing with China's“A+B”and“A+H”cross-listed companies,Western scholars feel at a loss for thesignificant premiums of A shares (domestic shares) relative to B or H shares (foreignshares). As a result,they simply called A share premiums as a“special case”(Bailey etal.,1999),or admit the Chinese case to be a“Puzzle”(Fernald and Rogers,2000).
Since the 1990s,more and more research has be carried out as to the pricedifferentials of China's“A+B”shares. However,H-share market is more importantthan the B-share market,and there're already 55“A+H”cross-listed companies by2008-06-30. So it's a pity that rare studies have been made as to the pricingdifferences of“A+H”shares. Therefore,it is of great use of investigating into the“Puzzle”of A-H share premium,taking“A+H”cross-listed companies as specimen.
The dissertation is composed of seven chapters:
Firstly,Chapter One gives the background,the importance,the strcuture,themethods,as well as the innovations and shortcomings of the study.
Secondly,through literature review (Chapter Two) and comparison of the pricedifferen-tials of cross-listed companies both at home and abroard (Chapter Three),weconfirm the“Puzzle of A-H Share Premium”.
Thirdly,we look into the causes and influencing factors of A-H Share Premiumfrom three angles-
Chapter Four deals with the impact of A-Share's IPO pricing upon A-H Sharepremium. A strong correlation is found between A-Share's IPO pricing premium(relative to H-Share prices) and A-H Share premium. However,A-H Share premium ismuch higher than A-Share's IPO pricing premium,and the main cause lies in under-pricing in A-Share's initial public offering.
Chapter Five analyses the impact of market segmentation on A-H Share premium.China's stock market demonstrates unique features in market segmention. Undercontrol of cross-border capital flows,the A-share market is highly closed from theworld market (including Hong Kong stock market),thus the monetary foctorrepresented by basic pionts spread of deposit interests of Mainland and Hong Kong isa key factor influncing the magnitude of A-H premiums.
Chapter Six finds that four micro-factors-liquidity differences between A and Hshares,the proportion of non-tradable A-Shares,behavioral differences between A andH shareholders,and information asymmetry between A and H shareholders-are allcontributable to A-H Share Premium. Especially,empirical study finds that A share'spremium rate will decrease by 3.5 percentage points for every one percentage point'sdecrease in the proportion of non-tradable A-shares,with other conditions unchanged.
Finally,Chapter Seven consists of a summary of the whole study and a prospect ofChina's capital market segmentation and the trend of A-H premiums in the future.
引文
1 数据来自World Federation of Exchanges官方网站http：//www：world-exchanges．org
47 ±5%的涨跌幅限制是针对ST股票的。
48 2006年7月24日生效，将来可能再调整。
49 在2003年4月之前，香港实行最低为(单边)2．5‰的佣金制，2003年4月1日起实行协定佣金制。
59 根据香港证券交易及清算公司(Hong Kong Exchanges and Clearing Limited)提供的数据，1970年香港四家证交所的股票成交金额为60多亿港元，当年的日均成交金额为2060万港元。
60 参见《香港金融市场投资指引》，中国经济出版社2007年2月第1版，54-55页。
61 主要指《证券及期货条例》。
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47 ±5%的涨跌幅限制是针对ST股票的。
48 2006年7月24日生效，将来可能再调整。
49 在2003年4月之前，香港实行最低为(单边)2．5‰的佣金制，2003年4月1日起实行协定佣金制。
59 根据香港证券交易及清算公司(Hong Kong Exchanges and Clearing Limited)提供的数据，1970年香港四家证交所的股票成交金额为60多亿港元，当年的日均成交金额为2060万港元。
60 参见《香港金融市场投资指引》，中国经济出版社2007年2月第1版，54-55页。
61 主要指《证券及期货条例》。
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