A股与H股市场价格发现及影响因子的实证研究  

Empirical Study of the Price Discovery and the Influence Factors of A and H Stock Market

作　　者：陈学胜[1] 覃家琦[2] 

机构地区：[1]山东大学威海分校商学院,山东威海264209 [2]南开大学商学院,天津300071

出　　处：《大连理工大学学报（社会科学版）》2012年第2期54-59,共6页Journal of Dalian University of Technology(Social Sciences)

基　　金：国家自然科学基金青年项目:"跨境多重上市对公司投资效率的作用机制研究"(70902048)

摘　　要：文章利用Hasbrouck的信息份额模型对同时在A股市场和H股市场交叉上市的公司A股、H股的信息份额进行计算,结果表明,平均来看A股市场价格发现的贡献要高于H股市场,但H股市场也发挥了重要作用。随后选取了一系列市场指标进行了因子分析和得分计算,并与H股的信息份额进行了回归分析,发现信息不对称差异、流动性差异及投机性差异都不同程度地影响了公司H股的价格发现能力。In this paper,the contributions of A share market and H share market were measured using the information share model proposed by Hasbrouck.Results show that averagely A share market makes more contributions to the price discovery,but the contributions of H share market are also significant.We choose some stock market indexed and analyze them by factor analysis,factor score computation and its regression analysis to H share's information share.Empirical tests show that differences of information asymmetries,liquidity and market speculation are the determinants that affect H stocks' contributions to the price discovery.

关 键 词：信息传递 信息份额 价格发现 因子分析 

分 类 号：F224[经济管理—国民经济] F832.51