股改前后A股和H股价格发现的动态演化  

The Dynamic Evolution of A and H Shares Price Discovery before and after Share Desegregation Reform

作　　者：王录琦[1] 

机构地区：[1]对外经济贸易大学金融学院,北京100029

出　　处：《科学决策》2009年第7期14-23,89,共11页Scientific Decision Making

摘　　要：本文选取A股、H股同时上市的公司股票价格数据为样本,采用Granger因果检验和信息份额模型,实证检验了股权分置改革前后A股、H股价格发现的动态演化过程。Granger因果检验表明,股改后H股更多地引导A股;信息份额模型显示,股改前,A股市场在股票价格的形成中占有一定的优势,股改后,H股市场在股票价格的形成中的优势逐渐明显。实证结果表明,股改后A股市场与成熟资本市场正逐步接轨,A股市场与H股市场的关联性得到进一步加强。This paper have adopted Granger causality analysis method and information shares model based on the A and H stock price of dual - listed companies, compared A and H markets＇ price discovery mechanism before and after the share desegregation reform. Much importance is attached on the application of information shares model for quantitative analysis. The empirical results of Granger causality analysis method shows that, after the reform, the prices of H shares have more effect on A shares price while the empirical results of information shares model shows that, before the reform, A shares market has more leadership in the stock price formation process, while after the reform, H shares market＇ s leadership have become more and more obvious. The study showed that, A shares market has become more and more mature after reform, and the A and H shares markets has become more and more interdependent.

关 键 词：价格发现 领先-滞后关系 信息份额模型 

分 类 号：F830.91[经济管理—金融学]