基于异质信念和卖空限制的分割市场股票定价  

Stock pricing between segmented capital markets under heterogeneous beliefs and short sale constraint

作　　者：陆静[1,2] 曹国华[1] 唐小我[3] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030 [2]加州大学圣地亚哥分校IR/PS研究院,美国加州92093 [3]电子科技大学经济与管理学院,成都610054

出　　处：《管理科学学报》2011年第1期13-27,共15页Journal of Management Sciences in China

基　　金：国家社会科学基金资助项目(09BJL024;08BJY154);中国博士后基金资助项目(20070410209);重庆市自然科学基金资助项目(2009BB2042)

摘　　要：假定分割市场中投资者信息处理能力存在差异,推导了具有异质信念的两阶段定价模型,证明了异质信念和卖空限制是导致H股价格低于A股价格的原因之一,通过A股和H股市场交易数据的实证分析,表明了该模型的合理性和有用性,在一定程度上解释了中国分割资本市场股价的异象,有助于认识中国新兴资本市场的微观结构和市场特征.Provided that the investors have different information processing abilities in segmented markets, we build a two-stage model which includes heterogeneous beliefs of investors, prove that heterogeneous beliefs and short sale restriction is one of the reasons which result in lower H-share price than A-share price, and empirically analyze the models using data from A-share market and H-share market. To some extent, our model theoretically explains the anomalies of China＇ s segmented capital markets and is helpful to recognize the microstructure and market characteristics of emerging China capital markets.

关 键 词：异质信念 卖空限制 分割市场 股票定价 

分 类 号：F830.91[经济管理—金融学]