A-H双重上市公司股票价格差异研究——基于模糊最小二乘模型  

The Research on Price Differences between A and H-Share of Chinese Dual-Listed Companies Based on the Fuzzy Least Squares

作　　者：杨辰[1] 陆秋君[1] 

机构地区：[1]上海理工大学理学院,上海200093

出　　处：《经济数学》2013年第2期68-72,共5页Journal of Quantitative Economics

基　　金：上海理工大学博士启动经费项目(1000341001)

摘　　要：由于中国内地和香港股票市场的市场分割,A-H双重上市公司的股票在两地市场间存在较大的价格差异.本文引入模糊线性回归的概念和方法,在分析A-H股双重上市公司股价差影响因素的基础上,构建模糊线性模型,利用最小二乘法对影响因素进行回归分析.根据拟合优度检验结果,得到影响A-H股价差最关键的因素,并与预期影响进行比较.Due to the market segmentation of Mainland and Hong Kong stock market, the price differences between A and H-share of Chinese dual-listed companies are very big. Referring to the relevant researches, this paper proposed a new method to analyze the price discrepancies based on fuzzy regression analysis. By taking into account the least-squares approach, a fuzzy regression model with crisp inputs and LR fuzzy output was suggested. The most key factors were selected according to the goodness of fit indices and the results were compared with the expected impact.

关 键 词：模糊回归模型 最小二乘法 A-H股价差 

分 类 号：F224.9[经济管理—国民经济] O159[理学—数学]