交叉上市股票价格差异的横截面分析  

The Cross-Sectional Analysis of Price Differences of Dual-Listed Shares

作　　者：杨娉[1] 徐信忠[2] 杨云红[2] 

机构地区：[1]中国人民银行金融研究所货币政策处 [2]北京大学光华管理学院

出　　处：《管理世界》2007年第9期107-116,共10页Journal of Management World

基　　金：国家自然科学基金重点项目(基金号:70432002)资助

摘　　要：当资本市场处于分割状态时,交叉上市的同一家上市公司的股票通常存在着同股不同价现象,并且不同公司股票的差价规模存在很大差异。已有的关于交叉上市证券价格差异的研究主要集中在对同一证券(或组合)的价格差异的时间序列的研究。利用同时发行A股和H股的中国上市公司的交易数据,本文对不同交叉上市证券价格差异的横截面特征和成因进行了实证研究。研究发现:(1)不同公司的H股折价规模存在很大差异;(2)信息不对称、流动性、市场需求和投机性是导致各公司的H股折价规模不同的重要原因。Due to the market segmentation, shares issued by the same company but listed in different stock exchanges are often traded at different prices. The existing literature has so far mainly examined the factors contributing to such price differences using the time series analysis. Using the sample of Chinese companies listed at the domestic exchanges (A shares) and at Hong Kong stock exchange (H shares), this paper examines the cross-sectional properties of price differences of dual listed shares. We find that: (1) different companies have different price differences between A and H shares in the time period; (2) the cross-sectional differences of price differentials are significantly determined by information asymmetry, liquidity, demand and speculation.

关 键 词：市场分割 H股折价 信息不对称 流动性 投机 

分 类 号：F830.9[经济管理—金融学]