A、H股交叉上市能提高流动性吗?  

Can AH-Share Cross-Listing Increase Liquidity?

作　　者：周开国[1] 王建军[1] 

机构地区：[1]中山大学岭南学院,广州510275

出　　处：《证券市场导报》2011年第12期65-73,共9页Securities Market Herald

基　　金：国家自然科学基金项目(70803054;71172161);教育部人文社会科学重点研究基地重大项目(2009JJD790051);中央高校基本科研业务费的资助

摘　　要：本文选取了先发行H股后发行A股的40只交叉上市股票作为研究样本,在统计检验的基础上,采用事件研究法和面板数据回归方法相结合分析了交叉上市的流动性效应。研究结果发现,H股回归A股市场这一事件公布后的30个交易日里,A、H股交叉上市公司所发行H股的换手率相对于公告前有显著的增大,即A、H股交叉上市能够提高上市公司股票短期内的流动性。本文的研究结果对交叉上市的相关文献做出了重要补充,并且具有重要的政策含义。This paper studies the liquidity effect AH-share cross-listing using the sample of 40 shares which had H-share issued first and then A-share issued. Based on the statistical test, the paper applies event study method and panel data regression model to study the liquidity. The empirical results show that the turnover of H-shares during the 30 trading days after the announcement of the event that H-shares returns to A-share market is higher than that in the period before announcement. That is, cross-listing on AH-shares can improve short-term liquidity. The results of this paper make significant contribution to the literature of cross-listing, and have important implications to policy making.

关 键 词：交叉上市 流动性 约束假说 

分 类 号：F830.9[经济管理—金融学]