多重上市股价异常效应的影响因素——来自中国A、B股证券市场的证据  

Multifactor Explanation of Abnormal Price Behavior Around Cross-listing——Evidences from Chinese A-and BShares Market

作　　者：刘培堂[1] 吴文锋[1] 吴冲锋[1] 芮萌[2] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200052 [2]香港中文大学商学院

出　　处：《系统管理学报》2006年第6期509-513,共5页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(70202005)

摘　　要：实证检验了多重上市的股价异常效应及其影响因素。结果表明,多重上市的股价异常效应并非市场过度反应的结果,而与A、B股的市场分割、发行价格与原股票价格的差异、上市前后流动性的变化紧密联系。另外,A股市场多重上市的股价异常效应主要表现在招股公告前,B股市场多重上市的股价异常效应则主要表现在招股公告后。从股东构成、时间因素、散户投资者的损失厌恶心理方面探讨了以上不对称反应模式的原因。This paper empirically tests stock price abnormal behavior around cross-listing.And we show that these unusual price changes aren't result of market overreaction.They are related to the market segmentation of Chinese A-and B-share markets,the price difference between newly cross-listing shares and listing shares and to the liquidity change during cross-listing.The unusual price changes around cross-listing of A shares mainly display before listing announcement.On the contrary,the price abnormal behavior around cross-listing of B shares mainly display after listing announcement.We think different stockholder structure,listing time difference between A-and B-shares and loss aversion of retail investors may account for the asymmetric pattern.

关 键 词：多重上市 异常收益 过度反应 流动性假说 

分 类 号：F830.91[经济管理—金融学]