我国A股、H股价格差异成因的理论与实证研究
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摘要
我国股票市场已经经历了十多年的发展历程,规模不断壮大,对国民经济的作用不断增强。但由于体制和制度设计的原因,股票市场的分割现象十分严重。同一市场上同时存在A股、B股和H股,同一股票却表现出不同价格,B、H股相对A股都有不同程度的折价。国内外学者对我国外资股折价这一独特现象做了大量的研究。但是都集中于对B股折价的研究,对H股折价的理论和实证方面的研究十分缺乏。
本文从分析我国股票市场的基本结构角度出发,解释市场分割的概念并阐述其在国际市场和中国市场上的表现。应用计量经济学和股票市场微观结构等理论和方法,从信息不对称、流动性差异、分散化效应、需求弹性差异、风险规避程度差异等多方面对我国H股折价进行了深入的理论分析。并通过变量设计,建立多个模型对各个影响因素进行了实证检验,以探究造成H股相对于A股折价的主要因素。基于日数据的实证研究的结果表明信息不对称、分散化效应、需求弹性差异、规模因素和风险程度指标等是影响我国H股折价的主要因素。然而随着我国资本市场制度的不断完善并逐渐与国际规则接轨,信息不对称因素、分散化效应、需求弹性对H股折价的影响将会越来越小,而规模因素、风险程度将会产生长期的作用。
在我国证券市场逐步开放的预期下,本文根据理论分析和实证检验的结果,提出了对策和建议:一是要改善信息不对称状况;二是要改善内地证券市场上股票的供求关系;三是从风险规避的角度,引导A股市场的理性投资,逐步培养理性投资的市场氛围。
With its greater impact on economy, China’s ever-larging stock market has been in process for over ten years. For institutional reasons, market segmentation has been a hot issue in China: The stock market consists of A-share, B-share and H-share simultaneously, with varying prices. B-share and H-share are at discount. Foreign and domestic researchers have done a large amount research on this unique phenomenon of discount of foreign class share of our country. But the research almost concentrated on B-share discount. H-share has received little attention both on theoretic study and empirical study.
After an analysis of basic stock market structure in China, this text explains what market segmentation is and its behavior in both international and domestic markets. This thesis uses the theories of the econometrics and microstructure of stock markets, analyze H-share discount theoretically from information asymmetry, liquidity effect, diversification benefit, demand elasticity, risk choice degree and exchange rate risk, etc. Cross-sectional model and panel model is constructed to examine each influence factor in order to probe into to the main factors causing H-shares discount. The result based on empirical test of diurnal data shows: information asymmetry, decentralized effect, demand elasticity difference, scale factor,index of the risk intensity are the main factors of H-share discount. However, the constant completion with the system of capital market in our country and integration with the international system progressively, the impact on H-share discount of information asymmetry, decentralized effect and demand elasticity difference will be smaller and smaller. But scale factor, risk intensity will produce long-term function.
Under the expectancy of security market opens progressively, according to the conclusions of theoretical analysis and empirical study, the thesis offers following suggestions: First, improve information asymmetry; Second, Improve the supply-demand relationship of the stock on the inland security market; Third, lead A-share investors to invest reasoningly, and cultivate market atmosphere of rational investment.
本文从分析我国股票市场的基本结构角度出发,解释市场分割的概念并阐述其在国际市场和中国市场上的表现。应用计量经济学和股票市场微观结构等理论和方法,从信息不对称、流动性差异、分散化效应、需求弹性差异、风险规避程度差异等多方面对我国H股折价进行了深入的理论分析。并通过变量设计,建立多个模型对各个影响因素进行了实证检验,以探究造成H股相对于A股折价的主要因素。基于日数据的实证研究的结果表明信息不对称、分散化效应、需求弹性差异、规模因素和风险程度指标等是影响我国H股折价的主要因素。然而随着我国资本市场制度的不断完善并逐渐与国际规则接轨,信息不对称因素、分散化效应、需求弹性对H股折价的影响将会越来越小,而规模因素、风险程度将会产生长期的作用。
在我国证券市场逐步开放的预期下,本文根据理论分析和实证检验的结果,提出了对策和建议:一是要改善信息不对称状况;二是要改善内地证券市场上股票的供求关系;三是从风险规避的角度,引导A股市场的理性投资,逐步培养理性投资的市场氛围。
With its greater impact on economy, China’s ever-larging stock market has been in process for over ten years. For institutional reasons, market segmentation has been a hot issue in China: The stock market consists of A-share, B-share and H-share simultaneously, with varying prices. B-share and H-share are at discount. Foreign and domestic researchers have done a large amount research on this unique phenomenon of discount of foreign class share of our country. But the research almost concentrated on B-share discount. H-share has received little attention both on theoretic study and empirical study.
After an analysis of basic stock market structure in China, this text explains what market segmentation is and its behavior in both international and domestic markets. This thesis uses the theories of the econometrics and microstructure of stock markets, analyze H-share discount theoretically from information asymmetry, liquidity effect, diversification benefit, demand elasticity, risk choice degree and exchange rate risk, etc. Cross-sectional model and panel model is constructed to examine each influence factor in order to probe into to the main factors causing H-shares discount. The result based on empirical test of diurnal data shows: information asymmetry, decentralized effect, demand elasticity difference, scale factor,index of the risk intensity are the main factors of H-share discount. However, the constant completion with the system of capital market in our country and integration with the international system progressively, the impact on H-share discount of information asymmetry, decentralized effect and demand elasticity difference will be smaller and smaller. But scale factor, risk intensity will produce long-term function.
Under the expectancy of security market opens progressively, according to the conclusions of theoretical analysis and empirical study, the thesis offers following suggestions: First, improve information asymmetry; Second, Improve the supply-demand relationship of the stock on the inland security market; Third, lead A-share investors to invest reasoningly, and cultivate market atmosphere of rational investment.
引文
[1][美]J.M.伍德里奇.计量经济学导论——现代观点[M].北京:中国人民大学出版社,2003:550-591
[2][美]安德瑞史莱佛.并非有效的市场——行为金融学导论[M].北京:中国人民大学出版社,2003:1-51
[3]陈昀,王韬.西方企业国际双重上市研究评价及其启示[J].外国经济与管理,2006,28(6):42-48.
[4]范钦,陈小凡,舒建平.中国证券市场分割:现状、理论与对策浅析[J].2004(1):44-46
[5]范钦,张明善,舒建平.中国证券市场分割的信息有效性研究[J].华东经济管理. 2003 (2):100-103
[6]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
[7]蒋正华,王建伟,陈工孟.中国股票市场外国投资者所有权投资的限制与市场分割[J].当代经济科学. 2004 (1):14-19
[8]李大伟,朱志军,陈金贤. H股相对于A股的折让研究[J].中国软科学.2004(1):37-42
[9]李志兴.解读A股、H股的水位落差.中国经济周刊[J]. 2004 (48):24-25
[10]刘昕.中国A、H股市场分割的根源分析[J].南开管理评论. 2004. (75):19-23
[11]刘昕.信息不对称与H股折价关系的定量研究[J].财经研究,2004,30(1):39-49
[12]娄峰.中国双重上市公司ABH股价格差异及协整研究[D].北京:对外经济贸易大学,2005
[13]陆家骝等.行为金融学的兴起[M].广州:广东人民出版社,2004:60-97
[14]秦宛顺,王永宏.中国A股和B股价格差异的实证分析[J].数量经济技术经济研究,2000(5):15-19
[15]吴世农,潘越.香港红筹股、H股与内地故事的协整关系和引导关系研究[J].管理学报. 2005(2)
[16]王维安,白娜. A股与H股价格差异的实证研究[J].华南金融研究. 2004(4):31-39
[17]徐小庆.中国股票市场分割与价格行为[D].北京:清华大学,2002
[18]易丹辉.数据分析与Eviews应用[M].北京:中国统计出版社,2002
[19]袁帅,张曙光.中国孪生股票分析及建模[J].运筹与管理,2005,14(6):93-98
[20]郑长德,范钛.中国股票市场分割(1991～2000)的理论探讨[J].西南民族大学学报,2003,29(3):310-316
[21]Bailey W and J. Jagtiani. Foreign Ownership Restrictions and Stock Prices in the Thai Capital Market. Journal of Financial Economics 36: 57-87
[22]Chan, K., Hameed, A., Lau, S.T. What If Trading Location is Different from Business Location? Evidence from the Jardine Group. Journal of Finance 58(2003):1221-1246
[23]Dongwei Su. Market Segmentation and Foreign Share Discount in China.Asia-Pacific Financial Markets 6(1999): 283-309
[24]Errunza V, E Losq. International Asset Pricing under Mild Segmentation: Theory and Test. Journal of Finance 40: 105-124
[25]Froot, K.A., Dabora, E.M. How Are Stock Price Affected by the Location of Trade? Journal of Financial Economics 53 (1999): 189-216
[26]G M Chen, Bong-Soo Lee, Oliver Rui. Reign Ownership Restrictions and Market Segmentation in China's Stock Markets. The Journal of Financial Research. Columbia:Spring 2001. Vol. 24, Iss. 1: 133-156
[27]Gordon J. Alexander, Cheol S. Eun and S. Janakiramanan. Asset Pricing andDual Listing on Foreign Capital Markets: A Note. The Journal of Finance 42: 151-158
[28]Gordon J. Alexander, Cheol S. Eun and S. Janakiramanan. International Listings and Stock Returns: Some Empirical Evidence. The Journal of Financial and Quantitative Analysis 23: 135-151
[29]Grossman and Stiglitz. On the Impossibility of Informationally Efficient Markets.The American Economic Review 70: 393-408
[30]Hietala and Pekka T., Asset Pricing In Partially Segmented Markets. The Journal of Finance. Cambridge: Jul 1989.Vol.44, Iss. 3: 697-719
[31]Ian Domowitz, Jack Glen and Ananth Madhavan. Market Segmentation and Stock Prices: Evidence from an Emerging Market. The Journal of Finance, Vol. 52,No.3, Papers and Proceedings Fifty-Seventh Annual Meeting, American Finance Association, New Orleans, Louisiana January 4-6, 1997 (Jul., 1997),1059-1085
[32]Ma, X.,. Capital controls, market segmentation and stock prices: Evidence from Chinese stock market. Pacific Basin Finance Journal 4, (1996): 219-239
[33]Mustafa N. Gultekin, N. Bulent Gultekein and Alessandro Penati. Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets. The Journal of Finance 44: 849-869
[34]Sugato Chakravarty, Asani Sarkar and Lifan Wu. Information Asymmetry,Market Segmentation and The Pricing of Cross-listed Shares: Theory and Evidence from Chinese A and B shares. International Financial Markets, Institutions & Money 8:325-355
[35]Sun, Qian, Tong and Wilson H.S., The Effect of Market Segmentation on Stock Prices: the China Syndrome. Journal of Banking and Finance 24 (2000): 1875-1902
[36]Stulz , Rene M. and Walter Wasserfallen, Foreign Equity Investment Restrictions,Capital Flight, and Shareholder Wealth Maximization:Theory and Evidence. The Review of Financial Studies, Vol.8, No. 4 (Winter, 1995): 1019-1057
[37]Stulz and Rene M., A Model of International Asset Pricing. Journal of Financial Economics. Amsterdam: Dec 1981.Vol.9, Iss. 4: 383-407
[38]Thadavillil Jithendranathan, T.R. Nirmalanandan, Kishore Tandon, Barriers to International Investing and Market Segmentation: Evidence from Indian GDR Market.Pacific-Basin Finance Journal 2000(8): 399-417
[39]Wo C.S., Chinese Dual-class Equities: Price Differentials and Information Flows. Emerging Market Quarterly, Summer 1997: 47-62
[40]Yuning Li, Joseph F. Greco, Betty Chavis. Lead-lag Relations between A Shares and H Shares in the Chinese Stock Markets, NBER, 2000
[41] Zhijun Zhu, Dawei Li, Yinfeng Xu. Discount between H Share and A Share from the Perspective of China. China Business Review, Vol.3, 2004(1): 41-49
[2][美]安德瑞史莱佛.并非有效的市场——行为金融学导论[M].北京:中国人民大学出版社,2003:1-51
[3]陈昀,王韬.西方企业国际双重上市研究评价及其启示[J].外国经济与管理,2006,28(6):42-48.
[4]范钦,陈小凡,舒建平.中国证券市场分割:现状、理论与对策浅析[J].2004(1):44-46
[5]范钦,张明善,舒建平.中国证券市场分割的信息有效性研究[J].华东经济管理. 2003 (2):100-103
[6]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
[7]蒋正华,王建伟,陈工孟.中国股票市场外国投资者所有权投资的限制与市场分割[J].当代经济科学. 2004 (1):14-19
[8]李大伟,朱志军,陈金贤. H股相对于A股的折让研究[J].中国软科学.2004(1):37-42
[9]李志兴.解读A股、H股的水位落差.中国经济周刊[J]. 2004 (48):24-25
[10]刘昕.中国A、H股市场分割的根源分析[J].南开管理评论. 2004. (75):19-23
[11]刘昕.信息不对称与H股折价关系的定量研究[J].财经研究,2004,30(1):39-49
[12]娄峰.中国双重上市公司ABH股价格差异及协整研究[D].北京:对外经济贸易大学,2005
[13]陆家骝等.行为金融学的兴起[M].广州:广东人民出版社,2004:60-97
[14]秦宛顺,王永宏.中国A股和B股价格差异的实证分析[J].数量经济技术经济研究,2000(5):15-19
[15]吴世农,潘越.香港红筹股、H股与内地故事的协整关系和引导关系研究[J].管理学报. 2005(2)
[16]王维安,白娜. A股与H股价格差异的实证研究[J].华南金融研究. 2004(4):31-39
[17]徐小庆.中国股票市场分割与价格行为[D].北京:清华大学,2002
[18]易丹辉.数据分析与Eviews应用[M].北京:中国统计出版社,2002
[19]袁帅,张曙光.中国孪生股票分析及建模[J].运筹与管理,2005,14(6):93-98
[20]郑长德,范钛.中国股票市场分割(1991～2000)的理论探讨[J].西南民族大学学报,2003,29(3):310-316
[21]Bailey W and J. Jagtiani. Foreign Ownership Restrictions and Stock Prices in the Thai Capital Market. Journal of Financial Economics 36: 57-87
[22]Chan, K., Hameed, A., Lau, S.T. What If Trading Location is Different from Business Location? Evidence from the Jardine Group. Journal of Finance 58(2003):1221-1246
[23]Dongwei Su. Market Segmentation and Foreign Share Discount in China.Asia-Pacific Financial Markets 6(1999): 283-309
[24]Errunza V, E Losq. International Asset Pricing under Mild Segmentation: Theory and Test. Journal of Finance 40: 105-124
[25]Froot, K.A., Dabora, E.M. How Are Stock Price Affected by the Location of Trade? Journal of Financial Economics 53 (1999): 189-216
[26]G M Chen, Bong-Soo Lee, Oliver Rui. Reign Ownership Restrictions and Market Segmentation in China's Stock Markets. The Journal of Financial Research. Columbia:Spring 2001. Vol. 24, Iss. 1: 133-156
[27]Gordon J. Alexander, Cheol S. Eun and S. Janakiramanan. Asset Pricing andDual Listing on Foreign Capital Markets: A Note. The Journal of Finance 42: 151-158
[28]Gordon J. Alexander, Cheol S. Eun and S. Janakiramanan. International Listings and Stock Returns: Some Empirical Evidence. The Journal of Financial and Quantitative Analysis 23: 135-151
[29]Grossman and Stiglitz. On the Impossibility of Informationally Efficient Markets.The American Economic Review 70: 393-408
[30]Hietala and Pekka T., Asset Pricing In Partially Segmented Markets. The Journal of Finance. Cambridge: Jul 1989.Vol.44, Iss. 3: 697-719
[31]Ian Domowitz, Jack Glen and Ananth Madhavan. Market Segmentation and Stock Prices: Evidence from an Emerging Market. The Journal of Finance, Vol. 52,No.3, Papers and Proceedings Fifty-Seventh Annual Meeting, American Finance Association, New Orleans, Louisiana January 4-6, 1997 (Jul., 1997),1059-1085
[32]Ma, X.,. Capital controls, market segmentation and stock prices: Evidence from Chinese stock market. Pacific Basin Finance Journal 4, (1996): 219-239
[33]Mustafa N. Gultekin, N. Bulent Gultekein and Alessandro Penati. Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets. The Journal of Finance 44: 849-869
[34]Sugato Chakravarty, Asani Sarkar and Lifan Wu. Information Asymmetry,Market Segmentation and The Pricing of Cross-listed Shares: Theory and Evidence from Chinese A and B shares. International Financial Markets, Institutions & Money 8:325-355
[35]Sun, Qian, Tong and Wilson H.S., The Effect of Market Segmentation on Stock Prices: the China Syndrome. Journal of Banking and Finance 24 (2000): 1875-1902
[36]Stulz , Rene M. and Walter Wasserfallen, Foreign Equity Investment Restrictions,Capital Flight, and Shareholder Wealth Maximization:Theory and Evidence. The Review of Financial Studies, Vol.8, No. 4 (Winter, 1995): 1019-1057
[37]Stulz and Rene M., A Model of International Asset Pricing. Journal of Financial Economics. Amsterdam: Dec 1981.Vol.9, Iss. 4: 383-407
[38]Thadavillil Jithendranathan, T.R. Nirmalanandan, Kishore Tandon, Barriers to International Investing and Market Segmentation: Evidence from Indian GDR Market.Pacific-Basin Finance Journal 2000(8): 399-417
[39]Wo C.S., Chinese Dual-class Equities: Price Differentials and Information Flows. Emerging Market Quarterly, Summer 1997: 47-62
[40]Yuning Li, Joseph F. Greco, Betty Chavis. Lead-lag Relations between A Shares and H Shares in the Chinese Stock Markets, NBER, 2000
[41] Zhijun Zhu, Dawei Li, Yinfeng Xu. Discount between H Share and A Share from the Perspective of China. China Business Review, Vol.3, 2004(1): 41-49