交叉上市能降低信息不对称吗?——基于AH股的实证分析  

Can Cross-listing Reduce Information Asymmetry? On the Basis of the Empirical Study of AH Shares

作　　者：周开国[1] 周铭山[2] 

机构地区：[1]中山大学岭南学院,广东广州510275 [2]西南财经大学金融学院,四川成都611130

出　　处：《证券市场导报》2014年第12期51-59,共9页Securities Market Herald

基　　金：国家自然科学基金项目(70803054;71172161);广东省人文社会科学研究重大攻关项目(11ZGXM79001);中山大学高校基本科研业务费重大项目培育项目(批准号:12wkjc07)的资助

摘　　要：本文以先发行H股后回归A股这一特殊交叉上市股票为研究对象,采用知情交易概率(PIN)度量信息不对称程度,研究股票交叉上市是否能降低信息不对称程度。对所有样本股票进行回归分析发现,交叉上市虚拟变量与PIN值负相关,即交叉上市会带来信息不对称程度的降低;并且,交叉上市股票的信息不对称程度要低于同期未交叉上市的股票。与过往文献不同,本文为此结论提供了一种全新的解释,交叉上市引起信息不对称程度降低是由于市场上"揭露"出来的信息更多,导致知情交易者的参与显著减少。最后,本文根据实证结果提出了相关政策建议。The main purpose of this study is to explore why cross-listing could reduce information asymmetry. This paper takes the special cross-listing stocks that issued H shares at first and then issued A shares as the sample, and measures the information asymmetry in the use of Probability of Informed Trading （PIN）. The results show that stocks have lower degree of information asymmetry after cross-listing. Moreover, compared with stocks which are not cross-listed, the PIN of the cross-listed stocks are also lower. The regression analysis reveals a negative relation between the cross-listing dummy variable and the probability of informed trading, which means cross-listing makes the degree of information asymmetry lower. The novel explanation is proposed with regard to the empirical results observed. The reason is that more information is revealed such that the arrival rate of informed traders decreases significantly. Finally, some policy suggestions are proposed based on the empirical results.

关 键 词：交叉上市 信息不对称 知情交易概率 盈余质量 

分 类 号：F830.9[经济管理—金融学]