中国上市公司A股和H股价差的实证研究  

The Empirical Study on Chinese A-H Share Premium

作　　者：胡章宏 王晓坤 

机构地区：[1]建银国际(控股)有限公司 [2]建银国际(控股)有限公司

出　　处：《经济研究》2008年第4期119-131,共13页Economic Research Journal

摘　　要：本文从实证角度,详细描述了截止2007年12月31日51家AH股上市公司自上市以来的价差变化趋势,并从公司、市场、利率、投资者、重大政策多个角度深入分析了AH股价差的影响因素。实证结果表明:同一上市公司的A股对H股普遍存在溢价现象,并且AH股价差在考察区间呈先上升后下降的趋势;流动性假说和信息不对称假说对AH股价差具有较强的解释力;两地的市场波动及利率变化对AH股价差具有显著的影响,而投资者结构和公司治理结构对AH股价差的作用不显著;在控制了市场波动等因素的影响之后,股权分置改革、QDII和港股直通车政策本身对AH股价差并没有显著影响。本文的研究成果进一步证明,两地股票市场分割以及内地资本流动的限制是造成AH股价差的根源。This paper describes the pattern of A-H share premium of 45 A-H listed firms since their listing dates, and empirically explores the reasons of A-H share premium from the perspectives of company, market, interest, investor and important policy. The empirical results suggest that A-H share premium first increases then decreases in the testing period; the Liquidity Hypothesis and Asymmetric Information Hypothesis are more powerful in explaining A-H share premium; the market volatility and interest change have significant effects on A-H share premium, but investor structure and corporate governance have no significant effect; and after controlling other factors, the share merger reform, QDII policy and Through-Train policy have no significant effect on A-H share premium. The result further proves that the market segmentation and capital flow restrictions are the determinants of A-H share premium.

关 键 词：AH股价差 资本资产定价模型 股权分置改革 QDII 港股直通车 

分 类 号：F832.51[经济管理—金融学]