摘要
在许多新兴股票市场上,仅国外投资者可以持有的外资股(如中国的B股)是非常普遍的。在这种市场分割的情况下,投资者无法通过套利行为来消除市场间的证券价格差异,因此出现供外国投资者交易的“外资股”相对于供国内投资者交易的“普通股票”,其价格通常会出现差异的现象,即国内外学术界所研究的“市场分割下的同股同权不同价问题”。对比世界上其他证券市场上普遍存在的“外资股”溢价现象,中国市场是全世界迄今为止唯一存在“外资股”折价问题的市场,关于中国证券市场A、B股价格差异问题研究近年来成为国内外学者关注的热点之一。
文章从我国B股市场设立的背景、发展历程谈起,分析B股产生的历史原因及意义,指出由于我国资本市场的进一步完善,B股市场的积极作用逐渐淡化,暴露出诸多问题,亟待解决。
随后,本文阐述了市场分割的基本概念及国内外股票市场的分割状况,对“同股同权不同价”的现象作出基本的描述,对国内外学者针对世界各分割市场尤其是我国A、B股股票价格差异现象的研究成果进行综述,并在此基础上提出,现阶段我国A、B股价格差异问题研究可在理论假说的综合性、时间研究的时效性、研究数据的准确性等方面继续加以改进。
在系统地阐述了需求弹性差异、信息不对称、流动性差异、投资者理念差异等四个理论假说及模型之后,本文对我国双重上市公司的A、B股价格差异现象进行了深入的分析:
首先,笔者运用股权分置改革前后两个时期的双重上市公司B股相对于A股折价率的截面数据,从时间、范围、程度三方面对B股折价率进行了统计性描述。结论认为:
(1)总体上B股平均每周折价率随着时间的推移不断提高,股权分置改革后的折价率比改革前有明显的上升趋势。B股折价在2001年6月—2005年6月的平均每周折价率为41.64%,2005年7月-2008年6月的平均每周折价率为45.66%,其中上海B股的折价程度略高于深圳B股的折价程度。
(2)各个双重上市公司的B股折价程度不一。股权分置改革前,双重上市公司B股折价率大致集中在30～60%,共65家,折价率在30%以下有12家,而折价60%以上的上市公司仅一家。股权分置改革后,双重上市公司B股折价率更加集中在30～60%,总和达到72家,折价率在30%以下及60%以上的上市公司各5家。通过对比股权分置改革前后两个时段各家上市公司的折价率,我们发现上市公司B股折价的幅度逐渐集中,但相对拉大折价率的上市公司明显增多。
(3)从B股每周平均折价率方面看,沪深两市B股的折价率在2003年后并不稳定,有很长一段时间沪市B股的折价率明显高于深市B股,不过近两年情况反转,深市B股的折价率一路攀升,已高于同期沪市B股的折价率。
而后,根据前文对需求弹性差异、信息不对称差异、流动性差异以及投资理念差异理论假说分析的基础上,本文针对影响A、B股价格差异的主要因素设计了相应的变量,并根据各因素可能对价差造成的影响做了一些初步估计,利用面板数据建立了多元回归模型。实证分析得到如下结论:
(1)需求弹性差异是影响A、B股价格差异的主要因素之一。A、B股相对供给量指标对股权分置改革前后A、B股价格差异都有显著性的正影响,A股相对供给越少,B股折价率就越大。
(2)流动性差异同样是影响A、B股价格差异的主要因素之一,相对换手率指标对股权分置改革前后A、B股价格差异的影响都显著,这一指标所表征的市场流动性越强,股价也就越高。因此,B股相对换手率增加时,A、B股价格差异会呈现缩小的趋势。
(3)投资理念差异对A、B股价格差异也有一定的影响,但代表这一理论的各解释变量与B股折价率的关系并不稳定,这与中国证券市场处于转型期,各类投资者鱼龙混杂,投资风格各异,使得整个市场处于不稳定状态相关。
(4)信息不对称差异对A、B股价格差异的影响与预期完全相反。之所以产生与我们假设不一致的情况,笔者猜想有可能是因为B股投资者把A股价格的变化作为信息来源,从A股价格间接获取上市公司的信息,从而部分消除了信息不对称的负面效应。实际上,信息不对称理论可能已不适用于现阶段的中国证券市场。
最后,根据本文对A、B股价格差异的理论分析和实证结论,结合社会各界对B股改革方向的讨论,笔者就消除A、B股价格差异、最终实现A、B股自然合并提出了相应的对策建议:一是要加大我国证券市场开放力度,重新发展壮大B股市场规模,以改善B股市场的需求弹性差异影响;二是理顺B股市场发行交易制度,培育机构投资者,向境内合法持有外汇的机构投资者开放B股市场,发展B股衍生品市场,以增强B股市场的流动性;三是引导A股市场的理性投资,强化上市公司治理机制,提高上市公司的质量,从而改善投资理念差异对A、B股价格差异的影响,促进A、B股价格接轨。
Foreign class shares, such as Chinese B-share, that can only be owned by foreign investors are common in the emerging markets. In most of these markets, the foreign class shares typically sell at a premium relative to the domestic class shares that can only be owned by the domestic investors. In contrast to these markets, the Chinese foreign class B-share is traded at a discount relative to the domestic class A-share. This special phenomenon interests more and more economist from home and abroad.
Beginning at the foundation and development of B-shares of Chinese Stock Market, this paper analyses the historical reasons and significance of the foundation of B-share Market, points out that because of the gradual improvement of Chinese Stock Market, the positive role of B-share Market becomes weaker, there are more and more problems with it.
Then, this paper expatiates the basic concept of Market Segmentation and the current situation of Market Segmentation of stock market from home and abroad, briefly describes the phenomenon of "Same Stock with Same Rights and Different Prices", gives literature reviews of related researches and papers. Upon the reviews, this paper concludes that the researches of Price Differences between A-share and B-share of Chinese Stock Market can be improved in some respects.
After introducing systematically the theories and models of information asymmetry,differential liquidity, differential investment ideas and differential demand, the paper deeply analyses the causes of price differences between A-share and B-share:
First,the author uses the cross-sectional data of the rate of discount of B-share to describe the price difference before and after Share Segregation Reform, and makes descriptive statistics, the conclusions are as follows:
(1) As a whole, the rate of discount of B-share ascends as time passing,and there is a big rising trend after Share Segregation Reform. The average rate of B-share is 41.64% between June,2001 and June 2005, and The average rate of B-share is 45.66% between July,2005 and June 2008.
(2) all the dual-listing companies' B-shares are traded at a discount, but the discounted degree of B-share is different among companies. Before Share Segregation Reform, the number of companies whose rates of discount of B-share are between 30% and 60% is sixty-five; after the reform, the number becomes seventy-two.
(3)The overall rates of discount of B-share of Shanghai and Shenzhen Market are not stable after 2003, there is a long time when the rate of discount of B-share of Shanghai Market is obviously higher than that of Shenzhen Market. But in late two years, the situation is adversed.
After the descriptive statistics, basing on the theoretically analysis of relevant theories and models about price differences between A-share and B-share, the paper defines several variables and uses panel-data to establish regression models, the conclusions of empirical analysis are as follows:
(1) Differential liquidity, differential investment ideas and differential demand are the main reasons that affect the price differences of A-share and B-share.
(2)The theories and models of information asymmetry may not be suitcable for Chinese Stock Market nowadays.
Finally, a ccording to the conclusions of theoretical analysis and empirical study,the paper gives several suggestions on eliminating the price difference between A and B share,such as strengthening the liquidity of B-share market, leading A-share investors to invest rationally, cultivating market atmosphere of rational investment, and improving the system of information publish, etc.
引文
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[60]相关网站资源:上海证券交易所:http://www.sse.com.cn 深圳证券交易所:http://www.szse.cn/中国证券报数据库服务系统:http://220.194.35.3:8080/zq/ggcx/ggcx.htm 百度搜索:www.baidu.com