摘要
股票价格差异是国际资本市场资产定价研究领域的一个较新的课题,尤其是对于发展中国家来说,一方面国内经济发展迅速,亟需大量的资金和众多的融资渠道支持国内经济建设,另一方面,由于历史等原因,国内资本市场往往正处在发展的初级和成长阶段,难以为国内投资募集到更大数量的资金。因此,开辟海外资本市场就成为一个有益的尝试和选择。在中国市场向国外投资者募集资金的渠道主要有两条途径,一个是在国内B股市场,上海证券交易所和深圳交易所都有相应的公司在B股市场上市,面向国外投资者发行股票,但是对于国外投资者的持股比例存在一定的限制;另一个途径是在香港联交所或者美国、欧洲和日本等国家的证券交易所上市,面向国际投资者发行股票。针对上述两种融资渠道,本文主要研究了中国A股市场与B股市场和H股市场的分割性和双重上市公司股票价格差异的原因。
不同于其他发展中国家股票市场,中国双重上市公司在B股和H股市场上的定价一般低于相应A股价格,这被称为“中国股票之谜”。这引出了许多文献来讨论产生这一现象的原因,最主要的解释是市场分割的因素导致了股票价格的差异。另一种解释是公司治理结构假说,双重上市公司治理改善是公司企业价格和收益率升高的原因。本文从这两个角度研究股票价格差异的原因和表现,主要内容包括四部分:
(1)对中国A股与B股和H股市场的“一体化-分割性”进行了检验,主要方法是利用门限自回归方法和“溢出效应”模型来判断市场的分割性。与以往的模型不同,本文将收盘价到收盘价的收益率分解为收盘价到开盘价和开盘价到收盘价收益率,通过TARCH模型研究了双重上市公司A(B股和H股)股开盘价到收盘价收益率的均值和流动风险对相应上市公司的B股和H股(A股)收盘价到开盘价收益率均值和风险的“溢出效应”,以及A股与B和H股之间通过开盘价到收盘价收益率之间的“溢出效应”。实证结果显示,A股与B股和H股之间的信息溢出效应具有非对称性,这反映了市场之间的分割性特征。
(2)研究了一级市场上双重上市公司A股与B股IPO首日抑价率之间的差异。用Spearman相关系数法和截面回归方法分析首日抑价率,发现投资者情绪和信息不对称因素都会影响AB股首日抑价率的差异。“hot issue”代表投资者情绪对股票价格差异的影响,它对首日抑价率差异具有显著的负向作用;招股时间到上市交易时间间隔则集中体现了信息不对称因素对股票价格差异的影响,它对首日抑价率差异具有显著的正向作用。
(3)对于A股与B股和H股交易价格的差异,本文将原因归结为信息不对称性、需求差异、流动性差异和投资者风险偏好差异四个方面。面板数据回归分析结果发现,上述四个因素都能够显著地影响交易价格的差异,其中,信息不对称因素、流动性差异和风险偏好差异与价格差异有正向影响,而需求差异却与价格差异有负向作用。
(4)利用年度面板数据考察B股和H股市场对上市公司对信息披露和会计标准更严格的要求是否导致了双重上市公司与非双重上市公司之间企业价值和收益率产生差异。回归结果显示,信息披露和会计标准的改善显著提高以托宾Q衡量的企业价值,但对于收益率的提高作用并不明显。
The price difference of the stock market is a more recent issue on the asset pricing of international capital market, especially to the development countries, on one hand, the rapid development of economy needs more capital and different financing ways, on the other hand, domestic capital market usually being in the preliminary or growing period of development. So developing the overseas market is a helpful attempt and selection. There are two ways in Chinese market to raise capital from the foreign investors; one way is to raise capital through Share B both in Shanghai and Shenzhen Stock Exchange, and where there are many companies to issue stock to the foreign investors, but the proportion foreign investors owing the Share B is limited by the ownership restrictions. The other way is to list in the international stock market such as Hong Kong Stock Exchange, New York Stock Exchange, and some European stock market and Japan stock market and so on. As far as the above two ways are concerned, the paper mainly researches the reasons of the segmentation between Share A and Share B or Share H stock, and also explains the price difference of the cross listing companies.
Different from the other development countries, the price of Share B and Share H of the cross listing companies is usually lower than Shares A, which is called“Chinese stock puzzle”. The puzzle induces many literatures to discuss the phenomenon, and the main reason is that the difference is caused by the market segmentation, the other explanation is the corporate governance hypothesis, that is, the improvement of the corporate government results in the increase of the firm value and return of the cross listing companies. The paper discusses the reasons and characters of price difference from the two aspects. There are four parts mainly in the paper:
(1) Testing the“integration-segmentation”among Share A, Share B and H through the Threshold Generalized Autoregressive Conditional Heteroscedasticity method and the“spillover effect”model to judge the market segmentation. Different with the previous models, the paper divides the close-to-close return into close-to-open and open-to-close return, and researches the“spillover effect”between the open-to-close return of Share A (Share B and Share H) and the close-to-open return of Share B and Share H (Share A) for the cross listing companies with the TARCH method, and also researches the“spillover effect”between Share A and Share B (Share H) through open-to-close return. As a consequence, there exists asymmetric information spillover between Share A and Share B (Share H), which reflects the segmentation between markets in China.
(2) Researching the difference of initial public offering underpricing between Share A and Share B for the cross listing companies. The paper finds that both investor sensitivity and information asymmetry can affect the difference of underpricing between Share A and Share B with the methods of Spearman Rank Correlation and cross section regression. Hot issue represents the effect of investor’s sensitivity on stock price difference, which has a significantly negative effect on IPO underprcing difference; interval between the public offering day and the first trading day reflects the impacts of information asymmetry, which has a significantly positive effect on t IPO underpricing.
(3) As far as the price difference between Share A and Share B is concerned, the paper attributes it to information asymmetry, demand difference, liquidity difference and investor’s risk preference difference. Panel data analysis indicates that all the four factors may affect trading price difference significantly. Specifically, information asymmetry, liquidity difference, and risk aversion difference have positive correlation with trading price difference, while demand difference has a negative effect on the price difference. (4) The article tests whether stricter information discloses and accounting criterion in the Stock B and Stock H lead to the difference of firm value measued by Tobin’s Q and annual return between dual listing companies and non-dual listing companies using panel date. The results of regression show that information discloses and accounting criterion increase the firm value of dual listing companies, but have no significant effect on the annual return.
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