A、H股市场信息传递及交叉上市股票价格发现研究
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摘要
20世纪70年代以来,企业跨境上市以及同一家企业在不同地域同时上市交易已成为国际资本市场上一个普遍现象。在国际资本市场分割的前提下,同一家公司在多个市场交叉上市的证券往往具有不同的风险特征、不同的收益和价格。国内外的学者已就交叉上市公司存在的“同股不同价”现象展开了大量的理论和实证研究,并得出很多重要结论。但是当一个资产同时在多个市场交易时,我们除了关注价格的绝对差异问题之外,还应该考虑到另外一个至关紧要的问题——价格的波动差异。因为价格的波动中隐藏着诸多的信息,这种信息无可否认的是证券市场中最重要的产品,具有很多公共物品的属性,而且与市场的运行效率有直接的关系。当前,随着交易壁垒逐渐消除、自由市场化以及各国经济合作关系的加强,商品市场已存在着很强的整合关系,产出、收益、红利及股票价格之间也出现了联动效应。这对市场微观结构研究领域的一些经典价格发现理论也提出了新的挑战,并使其从单纯考虑单一市场向多市场交易扩展。本文在金融市场微观结构理论视角下,基于信息理论对我国内陆A股市场和香港H股市场的跨市场信息传递及股票价格发现问题进行了理论和实证研究。全文从五个方面进行了分析和探讨：
1.从发行制度、交易制度、投资者结构及行为对A股和H股市场进行了概述性的分析和比较,并具体分析了“A+H”股上市公司的现状和特点。针对两市场差异对A股和H股的价格发现能力可能产生的影响进行了分析和假设。
2.针对A、H股市场交易机制差异对市场信息传递及股价行为的影响进行了分析。从理论和实证角度讨论了A、H股市场开盘交易机制差异、收盘交易机制差异,涨跌幅限制对两市场信息传递以及对A、H股价格行为所产生的影响。并对大宗交易制度和T+1交易制度对跨市场信息传递及股价行为的影响进行了理论分析。
3.沿着市场微观结构这条主线对交叉上市股票价格发现的理论模型及实证模型进行了回顾和比较。利用“A+H”交叉上市公司的日数据,根据永久／暂时模型、信息份额模型、MIS模型以及Kasa模型的计算方法实际计算了57家交叉上市公司的A股、H股的价格发现能力。计算过程中,同时考虑了个股A股、H股之间的线性和非线性关系。
4.交易量跟交易价格一样是反映股票二级市场交易信息的重要信号之-也是投资者投资活动的一个重要参考指标。我们对A股、H股市场上的股票价格与各自成交量之间的关系即“价量关系”进行了研究。以检验A股、H股价格与成交量之间是否存在显著的且稳定的相关关系。如果存在则说明在价格发现模型中单单包含价格信息是不够完善的,至少还应该将交易量考虑在内。在相关关系显著存在且稳定的前提之下,我们通过理论模型具体分析了这种相关关系,并通过实证方法对交易量所包含的信息进行了有效的分离。随后在信息份额模型的基础之上加入了交易量变量重新推导计算了A股、H股交易中交易量所包含的信息含量对价格发现的贡献。
5.单单考虑交易量的信息含量也还是不够的,因为市场交易中股票价格是所有信息含量的一个集合反映。在对现有的国内外针对股票价格发现影响因素的研究进行了归纳之后,我们总结出了市场结构差异假说、母国效应和全球中心说、市场分割及信息不对称假说以及投资者行为差异假说等几个针对股票跨市场信息传递及股票价格发现能力影响因素的研究分析假说。随后我们利统计和用计量的方法对上述假说对A、H股价格发现能力的影响进行了实证研究分析。
Since the 1970s, cross-border listings and the same company are traded in multi-markets have been a common phenomenon in the international capital market. Under the international capital market segmentation, the same company listed in multi-markets usually has different risk characterizations, different earnings and prices. Internal and External Scholars have conducted so much research both theoretically and empirically on the issue of "one stock with many prices", and have got many important conclusions. But when a security is traded in many markets, besides the absolute difference of the price, another question--the difference of the price fluctuation should be considered. Because the price fluctuations contain much information, this information arguably is the most important product, has many attributes of public goods, and directly regulate to the market efficiency. With the gradual abolition of trade barriers, market liberalization and the economic co-ordination of every country is strengthened, which imply the co-integrations of the goods markets and consecutively the co-movement of output, earnings/dividends and the stock prices. Under these situations, the classic price discovery theory in market microstructure concern a security that trades in a single centralized market is challenged, and which make us to consider information transmission and price discovery from one market to multi-market. On the perspective of financial markets microstructure, based on the information theory, using the theoretical analysis and the empirical testing, we analyze the information transmission and the price discovery through A stock market and the H stock market in china. The paper includes five aspects:
1. We analyze and compare the stock issue system, trade system, investor structure and their behavior of the A stock market and the H stock market. At the same time we analyze the "A+H" listings'actuality and characters. We analyze the aspects that the difference of both markets may impact the information transmission and price discovery to A and H stocks, and propose some hypotheses.
2. We analyze the impact of the trade system difference to the information transmission and price discovery to A and H stocks. Especially, using the theoretical analysis and the empirical testing, we analyze the impact of open and close quotation price system, price limit system. And analyze the impact of block trade system and "T+1" trade system only theoretically.
3. Followed the stands of literature comes from the field of market microstructure analysis, we date back the theoretical model and the empirical models related to the cross-listed and price discovery. Using the 57 "A+H" cross-listed date data and employing the Long/Transitory Model, Information Share Model, Modified Information Share Model and Kasa Model, we analyze the contribution of A and H shares to the price discovery quantitatively. During the calculation process, we consider the liner relation and the nonlinear relation between the A and H shares.
4. Trading volume as the share prices is one of the most important signals in the second market, and one of the reference indexes for the investor. We analyze the relation between the trading price and the trading volume of A share and H share to test whether apparent and steady relations between them exists. If exist, which indicate that only considering the price in the price discovery model is not enough, trade volume should be considered too. We analyze this relation using theoretical model and separate the information contained in the trading volume by an empirical method. Then we calculate the contribution of A and H shares to the price discovery quantitatively again considering the trading volume information.
5. Only considering the trading volume information is not enough, because in the market trading process, prices reflect all the information apparent in the market. After summarize all the research on the aspects that affect the price discovery, we get four theoretical hypothesizes, market microstructure hypothesis, home country effect and world centre hypothesis, market segmentation and information asymmetric hypothesis, and investor behavior difference hypothesis. We examine all these hypothesizes to the price discovery ability of A and H shares.
1.从发行制度、交易制度、投资者结构及行为对A股和H股市场进行了概述性的分析和比较,并具体分析了“A+H”股上市公司的现状和特点。针对两市场差异对A股和H股的价格发现能力可能产生的影响进行了分析和假设。
2.针对A、H股市场交易机制差异对市场信息传递及股价行为的影响进行了分析。从理论和实证角度讨论了A、H股市场开盘交易机制差异、收盘交易机制差异,涨跌幅限制对两市场信息传递以及对A、H股价格行为所产生的影响。并对大宗交易制度和T+1交易制度对跨市场信息传递及股价行为的影响进行了理论分析。
3.沿着市场微观结构这条主线对交叉上市股票价格发现的理论模型及实证模型进行了回顾和比较。利用“A+H”交叉上市公司的日数据,根据永久／暂时模型、信息份额模型、MIS模型以及Kasa模型的计算方法实际计算了57家交叉上市公司的A股、H股的价格发现能力。计算过程中,同时考虑了个股A股、H股之间的线性和非线性关系。
4.交易量跟交易价格一样是反映股票二级市场交易信息的重要信号之-也是投资者投资活动的一个重要参考指标。我们对A股、H股市场上的股票价格与各自成交量之间的关系即“价量关系”进行了研究。以检验A股、H股价格与成交量之间是否存在显著的且稳定的相关关系。如果存在则说明在价格发现模型中单单包含价格信息是不够完善的,至少还应该将交易量考虑在内。在相关关系显著存在且稳定的前提之下,我们通过理论模型具体分析了这种相关关系,并通过实证方法对交易量所包含的信息进行了有效的分离。随后在信息份额模型的基础之上加入了交易量变量重新推导计算了A股、H股交易中交易量所包含的信息含量对价格发现的贡献。
5.单单考虑交易量的信息含量也还是不够的,因为市场交易中股票价格是所有信息含量的一个集合反映。在对现有的国内外针对股票价格发现影响因素的研究进行了归纳之后,我们总结出了市场结构差异假说、母国效应和全球中心说、市场分割及信息不对称假说以及投资者行为差异假说等几个针对股票跨市场信息传递及股票价格发现能力影响因素的研究分析假说。随后我们利统计和用计量的方法对上述假说对A、H股价格发现能力的影响进行了实证研究分析。
Since the 1970s, cross-border listings and the same company are traded in multi-markets have been a common phenomenon in the international capital market. Under the international capital market segmentation, the same company listed in multi-markets usually has different risk characterizations, different earnings and prices. Internal and External Scholars have conducted so much research both theoretically and empirically on the issue of "one stock with many prices", and have got many important conclusions. But when a security is traded in many markets, besides the absolute difference of the price, another question--the difference of the price fluctuation should be considered. Because the price fluctuations contain much information, this information arguably is the most important product, has many attributes of public goods, and directly regulate to the market efficiency. With the gradual abolition of trade barriers, market liberalization and the economic co-ordination of every country is strengthened, which imply the co-integrations of the goods markets and consecutively the co-movement of output, earnings/dividends and the stock prices. Under these situations, the classic price discovery theory in market microstructure concern a security that trades in a single centralized market is challenged, and which make us to consider information transmission and price discovery from one market to multi-market. On the perspective of financial markets microstructure, based on the information theory, using the theoretical analysis and the empirical testing, we analyze the information transmission and the price discovery through A stock market and the H stock market in china. The paper includes five aspects:
1. We analyze and compare the stock issue system, trade system, investor structure and their behavior of the A stock market and the H stock market. At the same time we analyze the "A+H" listings'actuality and characters. We analyze the aspects that the difference of both markets may impact the information transmission and price discovery to A and H stocks, and propose some hypotheses.
2. We analyze the impact of the trade system difference to the information transmission and price discovery to A and H stocks. Especially, using the theoretical analysis and the empirical testing, we analyze the impact of open and close quotation price system, price limit system. And analyze the impact of block trade system and "T+1" trade system only theoretically.
3. Followed the stands of literature comes from the field of market microstructure analysis, we date back the theoretical model and the empirical models related to the cross-listed and price discovery. Using the 57 "A+H" cross-listed date data and employing the Long/Transitory Model, Information Share Model, Modified Information Share Model and Kasa Model, we analyze the contribution of A and H shares to the price discovery quantitatively. During the calculation process, we consider the liner relation and the nonlinear relation between the A and H shares.
4. Trading volume as the share prices is one of the most important signals in the second market, and one of the reference indexes for the investor. We analyze the relation between the trading price and the trading volume of A share and H share to test whether apparent and steady relations between them exists. If exist, which indicate that only considering the price in the price discovery model is not enough, trade volume should be considered too. We analyze this relation using theoretical model and separate the information contained in the trading volume by an empirical method. Then we calculate the contribution of A and H shares to the price discovery quantitatively again considering the trading volume information.
5. Only considering the trading volume information is not enough, because in the market trading process, prices reflect all the information apparent in the market. After summarize all the research on the aspects that affect the price discovery, we get four theoretical hypothesizes, market microstructure hypothesis, home country effect and world centre hypothesis, market segmentation and information asymmetric hypothesis, and investor behavior difference hypothesis. We examine all these hypothesizes to the price discovery ability of A and H shares.
引文
①境外上市外资股除了H股外,还有N股、L股和S股等。
②2001年2月19日之前,B股市场仅向外资(包括自然人和法人)开放。
③2002年底出台了《关于向外商转让上市公司国有股和法人股有关问题的通知》。
①摘录于《外商投资产业指导目录》和《外国投资者对上市公司战略投资管理办法》。
①市场质量的其他衡量指标还包括,有效性(efficiency)稳定性(stability)和透明性(transparency)。
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②2001年2月19日之前,B股市场仅向外资(包括自然人和法人)开放。
③2002年底出台了《关于向外商转让上市公司国有股和法人股有关问题的通知》。
①摘录于《外商投资产业指导目录》和《外国投资者对上市公司战略投资管理办法》。
①市场质量的其他衡量指标还包括,有效性(efficiency)稳定性(stability)和透明性(transparency)。
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