A股与H股价格差异影响因素的实证研究
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摘要
2005年我国资本市场进行了第一次革命性的变革即股权分置改革,这对于我国资本市场的规范发展和制度建设有着积极而深远的影响。随着我国金融领域的对外开放程度不断提高,我国的资本市场最终也将与国际接轨,这将是我国证券市场面临的第二次重要挑战。在现阶段我国仍然存在严格的资本管制的背景下,H股市场便为我国资本市场提供了一个与国际资本市场接触最为直接的平台。但由于A、H股市场存在市场分割,导致同一家公司的H股价格与A股价格存在较大差异。
本文采用理论分析与实证研究相结合的方式,从公司层面和时间层面两个角度出发,建立面板数据模型对32家A+H股上市公司进行实证研究,实证结果表明信息不对称性、流动性差异、需求弹性差异、风险偏好程度差异、股权分置改革是造成A、H股价格差异的主要原因。另外,本文还通过估计时期个体恒量和对模型进行CHOW检验,得出股权分置改革会对A、H股的价格差异的缩小产生重要影响的结论。
最后,结合本文的实证结论和我国资本市场的发展现状,提出了如何消除A、H股市场分割和我国资本市场如何走向国际化的政策建议,并分析推行“港股直通车”和QFII、QDII制度的利弊。
The Reform of non-tradable share in 2005 was the first revolutionized reform of capital market in china, which has a positive and far-reaching impact on capital market development and institution building. With increasing degree of opening up in finance, capital market in china ultimately will merge with the world, which is the second significant challenge faced capital market in china. Under the background of strict capital control capital market in china, H shares market provides the most direct platform contact international capital market. But because of segmentation in A shares market and H shares market, which led to the price of A share is much different from the price of H share for the same company.
The paper selects 32 companies as the object of study and establishes a panel data model. Empirical tests were conducted from the firm characteristics and market environment respectively. The result based on empirical test shows: information asymmetry, liquidity effect, demand elasticity difference,risk choice degree and the Reform of non-tradable share are the influence factors of parity. In addition, via estimating variable of periodic individual and chow test, we can conclude that the reform of non-tradable share will narrow parity between price of A share market and H share market.
At last, according to the conclusions of this paper and the reality of securities market, the paper offered four suggestions to dispel the market segmentation between A shares and H shares and how to accomplish internationalization of capital market in china. And then the paper analyzes the pros and cons of QFII and QDII system.
本文采用理论分析与实证研究相结合的方式,从公司层面和时间层面两个角度出发,建立面板数据模型对32家A+H股上市公司进行实证研究,实证结果表明信息不对称性、流动性差异、需求弹性差异、风险偏好程度差异、股权分置改革是造成A、H股价格差异的主要原因。另外,本文还通过估计时期个体恒量和对模型进行CHOW检验,得出股权分置改革会对A、H股的价格差异的缩小产生重要影响的结论。
最后,结合本文的实证结论和我国资本市场的发展现状,提出了如何消除A、H股市场分割和我国资本市场如何走向国际化的政策建议,并分析推行“港股直通车”和QFII、QDII制度的利弊。
The Reform of non-tradable share in 2005 was the first revolutionized reform of capital market in china, which has a positive and far-reaching impact on capital market development and institution building. With increasing degree of opening up in finance, capital market in china ultimately will merge with the world, which is the second significant challenge faced capital market in china. Under the background of strict capital control capital market in china, H shares market provides the most direct platform contact international capital market. But because of segmentation in A shares market and H shares market, which led to the price of A share is much different from the price of H share for the same company.
The paper selects 32 companies as the object of study and establishes a panel data model. Empirical tests were conducted from the firm characteristics and market environment respectively. The result based on empirical test shows: information asymmetry, liquidity effect, demand elasticity difference,risk choice degree and the Reform of non-tradable share are the influence factors of parity. In addition, via estimating variable of periodic individual and chow test, we can conclude that the reform of non-tradable share will narrow parity between price of A share market and H share market.
At last, according to the conclusions of this paper and the reality of securities market, the paper offered four suggestions to dispel the market segmentation between A shares and H shares and how to accomplish internationalization of capital market in china. And then the paper analyzes the pros and cons of QFII and QDII system.
引文
[1] Bailey W,Jagtiani J. Foreign Ownership Restrictions and Stock Price in the Thai Capital Market [J] .Journal of Financial Economic,1994,(36): 57-87
[2] Boosjoo. Market segmentation and information diffusion China’s stock markets [J]. Journal of multinational Management, 2000, (10):421-438
[3] 秦宛顺, 王永宏.中国A股与B股价格差异的实证分析[J]. 数量经济技术研究, 2002,(5):15-23
[4] 王维安. A股与H 股价格差异的实证研究[J]. 华南金融研究, 2004,(2):31-39
[5] Bamber L. The information content of annual earnings releases: A trading Volume approach[J].Journal of Accounting Research,1986,(24):40-56
[6] Bergstorm C,Tang E. Price differentials between different classes of stocks: an empirical study on Chinese stock markets[J].Journal of Multinational Financial Management,2001,(11):407-426
[7] Char K. Imperfect Information and Cross-autocorrelation among stock prices[J]. Journal of Finance,1993,(48):1211-1230
[8] Chakravarty S,Sarkar A. Information asymmetry,market segmentation and the pricing of cross-listed shares:theory and evidence from Chinese A and B shares[J].Journal of International Financial Markets,1998,(8) :325-355
[9] 周兴政. H股缘何较A股折价[J]. 证券时报, 2007- 8-12:3
[10] Chen G . Foreign ownership restrictions and market segmentation in China's stock markets[J].The Journal of Financial Research, 2001, (1):133-155
[11] Chen Y,Su Y .An Examinationin to Market Segmentation in the Chinese StockMarket[J].Basin Finance Market,1998,(4):49-70
[12] 孙海燕 . 上市公司股权分置改革绩效效应的实证分析 [J]. 中山大学学报,2007,(11):23-24
[13] Chen ,Gul F. Comparison of Reported Earnings under GAAP vs IAS:Evidence from the Shanghai Stock Exchange[J].Accounting Horizons,1999,(2):91-111
[14] 陆正飞, 刘桂进. 中国公众投资者信息需求之探索性研究闭[J]. 经济研究, 2002,(4):26-30
[15] Foerster S,Karoly A.The effects of market segmentation and investor Recognition on asset prices:Evidence from foreign stocks listing in the United States[J]. Journal of Finance,1999,(54):981-1013
[16] 黎璞,陈小红,刘剑锋 . 对股权分置改革的事件研究方法 [J]. 系统工程,2006,(24):45-48
[17] Fernald J.Puzzles in the Chinese Stock Market[J].International Finance Discussion Board of Governors of the Federal Reserve System,1998,(10):169
[18] Harris T.Imemafional Accounting Standards Versus US-GAAP Reporting mpirical evidence based on case studies[J].South-western College Publishing, 1995,(2) :750-783
[19] Heal P .T.Asset Pricing in Partially Segmented Markets:Evidence from the Finnish Market[J]. Journal of Finance,1989,(44):697-718
[20] 韩德宗. 中国A股市场分割因素与消除路径[J]. 经济理论与经济管理,2004, (7):36-40
[21] 郝 继 伦 . 中 国 股 票 市 场 发 展 分 析 [M]. 北 京 中 国 经 济 出 版 社 , 2000,(1) :197-213
[22] Jorion P,Schwartz E .Integration vs segmentation in the Canadian stock Market[J]. Journal of Finance, 1986, (41):603-614
[23] Kadlec G, McConnell J.The Effect of Market Segmentation and Illiquidit On Asset Prices: Evidence from Exchange Listings[J]. Journal of Finance,1994,(49):611-636
[24] Laporta R , Shleifer A .Corporate ownership around the world[J]. Journal of Finance ,1999,(54):471-517
[25] 段瑞强. 从证券市场国际化趋势看A, B和H股市场分割对我国证券化融资的不利影响[J].市场周刊,2004,(2):62-63
[26] Ma X .Capital Controls Market Segmentation and Stock Prices: Evidence from the Chinese Stock Market[J]. Pacific Basin Finance Journal,1996,(4):219-239
[27] Meek W,Gray S. Factors influencing voluntary annual report disclosures by US,UK and continental European multinational corporations[J].Journal of International Business Studies,1995,(3):555-572
[28] Merton R. Simple Model of Capital Market Equilibrium with Incomplete Information[J]. Journal of Finance,1987,(42):483-510
[29] Miller D, Morey M . The Intraday Pricing Behavior of International Dually Listed Securities[J]. Journal of International Financial Markets, 1996,(6):79-89
[30] 邹功达. 中国 A 股与 B 股的市场分割性检验[J]. 经济研究, 2002,(4):51-59
[31] 胡新明. 股票市场分割与一体化研究评述[J]. 金融研究, 2007,(4):1-9
[32] 刘昕. 中国A、H股市场分割的根源分析[J]. 南开管理评论, 2004,(5):19-23
[33] Park J,Tavakkol A . Are ADRs A Dollar Translation of Their UnderlyingSecurities? The Case of Japanese ADRs[J]. Journal of International Financial Markets ,1994,(4):77-87
[34] Sun Q,Tong. The effect of market segmentation Chinese syndrome[J]. Journal of Banking and Finance,2000,(24):1875-1902
[35] Solnik B.An equilibrium of the international capital market[J]. Journal of Economic Theory,1974,(8):500-524
[36] 李大伟,朱志军,陈金贤. A股和H股收益率和波动率研究[J]. 财贸经济, 2003,(12):50-52
[37] 李志兴. 解读A股、H股的水位落差阴[J]. 中国经济周刊, 2004,(48):24-25
[38] Stulz M. On the effects of barriers to in ternational investment[J]. Journal of Finance, 1981,(36):923-934
[39] Su D.Ower ship Restrictions and Stock Prices: Evidence from Chinese Markets [J].The Financial Review, 2000,(34):37-56
[40] Sze W. The Allure of B Shares[J]. The China Business Review,1993,(2):42-48
[41] Waymire G .Additional evidence on the information content of management Earnings forecasts[J]. Journal of Accounting Research,1984,(22):703-719
[42] Wo C.Chinese dual-classe quities: price differentials and information flows Emerg[J]. Market,1997,(3):47-62
[43] 高铁梅.计量经济分析方法和建模:Eviews应用及实例[M].北京:清华大学出版社,2005,(10):257-289
[44] 邓宏光, 宁东丽. 中国A股专题报告[J]. 东方证券策略研究, 2007,(10):11
[45] Xiao J .The determinants and characteristics of Voluntary internet-based disclosure by listed Chinese companies[J]. Journal of Accounting and Public Policy,2004,(23):191-225
[46] 李大伟 , 朱志军 , 陈金贤 . H 股相对于 A 股的折让研究 [J]. 经济论坛 , 2004,(1):37-42
[47] 张阿洁,吴军宁. CAMP在上证B股的实证检验[J]. 湖北工业大学学报, 2006,(60):95-97
[48] 周兴政. 人民币升值将提升H/A比价[J]. 西南证券研究报告, 2007,(10):23
[49] Xu C. The microstructure of the Chinese stock market[J]. China Economic Review, 2000,(11):79-97
[50] Yang J. Market Segmentation and Information Asymmetry in Chinese Stock Markets: A VAR Analysis[J]. The Financial Review,2003,(4):591-609
[51] 刘云中. 中国股票市场对会计盈余和会计应计量信息的反应[J]. 中国软科学, 2003,(11):40-45
[52] 秦慈. 中国H股的现状与发展[J]. 西南金融, 1999,(10):52-54
[53] 刘昕.股票市场分割及其消除:理论综述与方案探讨[J].财经研究,2002,(6):28
[54] 巴曙松. 股权分置改革后 A+H 股价差的实证研究[J]. 平安证券研究报告, 2007,(11):1-3
[55] 欧阳汉, 郭家强.A-H溢价:理论上不合理[J]. 高盛研究报告, 2007,(9):1-3
[2] Boosjoo. Market segmentation and information diffusion China’s stock markets [J]. Journal of multinational Management, 2000, (10):421-438
[3] 秦宛顺, 王永宏.中国A股与B股价格差异的实证分析[J]. 数量经济技术研究, 2002,(5):15-23
[4] 王维安. A股与H 股价格差异的实证研究[J]. 华南金融研究, 2004,(2):31-39
[5] Bamber L. The information content of annual earnings releases: A trading Volume approach[J].Journal of Accounting Research,1986,(24):40-56
[6] Bergstorm C,Tang E. Price differentials between different classes of stocks: an empirical study on Chinese stock markets[J].Journal of Multinational Financial Management,2001,(11):407-426
[7] Char K. Imperfect Information and Cross-autocorrelation among stock prices[J]. Journal of Finance,1993,(48):1211-1230
[8] Chakravarty S,Sarkar A. Information asymmetry,market segmentation and the pricing of cross-listed shares:theory and evidence from Chinese A and B shares[J].Journal of International Financial Markets,1998,(8) :325-355
[9] 周兴政. H股缘何较A股折价[J]. 证券时报, 2007- 8-12:3
[10] Chen G . Foreign ownership restrictions and market segmentation in China's stock markets[J].The Journal of Financial Research, 2001, (1):133-155
[11] Chen Y,Su Y .An Examinationin to Market Segmentation in the Chinese StockMarket[J].Basin Finance Market,1998,(4):49-70
[12] 孙海燕 . 上市公司股权分置改革绩效效应的实证分析 [J]. 中山大学学报,2007,(11):23-24
[13] Chen ,Gul F. Comparison of Reported Earnings under GAAP vs IAS:Evidence from the Shanghai Stock Exchange[J].Accounting Horizons,1999,(2):91-111
[14] 陆正飞, 刘桂进. 中国公众投资者信息需求之探索性研究闭[J]. 经济研究, 2002,(4):26-30
[15] Foerster S,Karoly A.The effects of market segmentation and investor Recognition on asset prices:Evidence from foreign stocks listing in the United States[J]. Journal of Finance,1999,(54):981-1013
[16] 黎璞,陈小红,刘剑锋 . 对股权分置改革的事件研究方法 [J]. 系统工程,2006,(24):45-48
[17] Fernald J.Puzzles in the Chinese Stock Market[J].International Finance Discussion Board of Governors of the Federal Reserve System,1998,(10):169
[18] Harris T.Imemafional Accounting Standards Versus US-GAAP Reporting mpirical evidence based on case studies[J].South-western College Publishing, 1995,(2) :750-783
[19] Heal P .T.Asset Pricing in Partially Segmented Markets:Evidence from the Finnish Market[J]. Journal of Finance,1989,(44):697-718
[20] 韩德宗. 中国A股市场分割因素与消除路径[J]. 经济理论与经济管理,2004, (7):36-40
[21] 郝 继 伦 . 中 国 股 票 市 场 发 展 分 析 [M]. 北 京 中 国 经 济 出 版 社 , 2000,(1) :197-213
[22] Jorion P,Schwartz E .Integration vs segmentation in the Canadian stock Market[J]. Journal of Finance, 1986, (41):603-614
[23] Kadlec G, McConnell J.The Effect of Market Segmentation and Illiquidit On Asset Prices: Evidence from Exchange Listings[J]. Journal of Finance,1994,(49):611-636
[24] Laporta R , Shleifer A .Corporate ownership around the world[J]. Journal of Finance ,1999,(54):471-517
[25] 段瑞强. 从证券市场国际化趋势看A, B和H股市场分割对我国证券化融资的不利影响[J].市场周刊,2004,(2):62-63
[26] Ma X .Capital Controls Market Segmentation and Stock Prices: Evidence from the Chinese Stock Market[J]. Pacific Basin Finance Journal,1996,(4):219-239
[27] Meek W,Gray S. Factors influencing voluntary annual report disclosures by US,UK and continental European multinational corporations[J].Journal of International Business Studies,1995,(3):555-572
[28] Merton R. Simple Model of Capital Market Equilibrium with Incomplete Information[J]. Journal of Finance,1987,(42):483-510
[29] Miller D, Morey M . The Intraday Pricing Behavior of International Dually Listed Securities[J]. Journal of International Financial Markets, 1996,(6):79-89
[30] 邹功达. 中国 A 股与 B 股的市场分割性检验[J]. 经济研究, 2002,(4):51-59
[31] 胡新明. 股票市场分割与一体化研究评述[J]. 金融研究, 2007,(4):1-9
[32] 刘昕. 中国A、H股市场分割的根源分析[J]. 南开管理评论, 2004,(5):19-23
[33] Park J,Tavakkol A . Are ADRs A Dollar Translation of Their UnderlyingSecurities? The Case of Japanese ADRs[J]. Journal of International Financial Markets ,1994,(4):77-87
[34] Sun Q,Tong. The effect of market segmentation Chinese syndrome[J]. Journal of Banking and Finance,2000,(24):1875-1902
[35] Solnik B.An equilibrium of the international capital market[J]. Journal of Economic Theory,1974,(8):500-524
[36] 李大伟,朱志军,陈金贤. A股和H股收益率和波动率研究[J]. 财贸经济, 2003,(12):50-52
[37] 李志兴. 解读A股、H股的水位落差阴[J]. 中国经济周刊, 2004,(48):24-25
[38] Stulz M. On the effects of barriers to in ternational investment[J]. Journal of Finance, 1981,(36):923-934
[39] Su D.Ower ship Restrictions and Stock Prices: Evidence from Chinese Markets [J].The Financial Review, 2000,(34):37-56
[40] Sze W. The Allure of B Shares[J]. The China Business Review,1993,(2):42-48
[41] Waymire G .Additional evidence on the information content of management Earnings forecasts[J]. Journal of Accounting Research,1984,(22):703-719
[42] Wo C.Chinese dual-classe quities: price differentials and information flows Emerg[J]. Market,1997,(3):47-62
[43] 高铁梅.计量经济分析方法和建模:Eviews应用及实例[M].北京:清华大学出版社,2005,(10):257-289
[44] 邓宏光, 宁东丽. 中国A股专题报告[J]. 东方证券策略研究, 2007,(10):11
[45] Xiao J .The determinants and characteristics of Voluntary internet-based disclosure by listed Chinese companies[J]. Journal of Accounting and Public Policy,2004,(23):191-225
[46] 李大伟 , 朱志军 , 陈金贤 . H 股相对于 A 股的折让研究 [J]. 经济论坛 , 2004,(1):37-42
[47] 张阿洁,吴军宁. CAMP在上证B股的实证检验[J]. 湖北工业大学学报, 2006,(60):95-97
[48] 周兴政. 人民币升值将提升H/A比价[J]. 西南证券研究报告, 2007,(10):23
[49] Xu C. The microstructure of the Chinese stock market[J]. China Economic Review, 2000,(11):79-97
[50] Yang J. Market Segmentation and Information Asymmetry in Chinese Stock Markets: A VAR Analysis[J]. The Financial Review,2003,(4):591-609
[51] 刘云中. 中国股票市场对会计盈余和会计应计量信息的反应[J]. 中国软科学, 2003,(11):40-45
[52] 秦慈. 中国H股的现状与发展[J]. 西南金融, 1999,(10):52-54
[53] 刘昕.股票市场分割及其消除:理论综述与方案探讨[J].财经研究,2002,(6):28
[54] 巴曙松. 股权分置改革后 A+H 股价差的实证研究[J]. 平安证券研究报告, 2007,(11):1-3
[55] 欧阳汉, 郭家强.A-H溢价:理论上不合理[J]. 高盛研究报告, 2007,(9):1-3