价格发现能力的变化及其解释——来自AH交叉上市股票的证据  

Variation of Price Discovery and Its Explanations:Evidence from AH Cross-listed Stocks

作　　者：聂思玥[1] 李梦花[2] 刘维奇[3] NIE Si-yue1,LI Meng-hua2, LIU Wei-qi3(1. School of Economics and Management, Shanxi University, Shanxi Taiyuan 030006, China; 2. Faculty of Economics, Shanxi University of Finance ＆ Economics, Shanxi Taiyuan 030006, China; 3. Faculty of Finance ＆ Banking, Shanxi University of Finance ＆ Economics, Shanxi Taiyuan 030006 Chin)

机构地区：[1]山西大学经济与管理学院,山西太原030006 [2]山西财经大学经济学院,山西太原030006 [3]山西财经大学财政金融学院,山西太原030006

出　　处：《数理统计与管理》2018年第3期554-570,共17页Journal of Applied Statistics and Management

基　　金：山西省高等学校哲学社会科学项目(2016202);山西省“1311工程”重点创新团队建设计划资助

摘　　要：本文发现AH交叉上市股票市场的价格发现指标，在时序上是不断变化的，且个体差异性较强。本文首次通过面板数据模型，使用全部88支AH交叉上市股票的日交易数据，同时对A股和H股市场的价格发现能力及其影响因素进行了分析。实证结果表明，本文提出的AH股票溢价率、市盈率、汇率指标对AH股交叉上市股票的价格发现能力具有较好的解释力，并通过稳健性检验发现，本文全样本的实证结果在21个子样本回归中都能得到比较一致的结论。最后，本文针对AH股票溢价率、市盈率、汇率指标的研究结论进一步提出了若干启示和政策建议。We find that price discovery of AH cross-listing stocks is constantly changing, and presents strong individual differences. By panel data model analyzing for the first time, we use the daily transaction data of all 88 AH cross-listed stocks, and simultaneously analyze the variation of price discovery and its impact factors. Empirical results show the three influencing factors of price discovery proposed by us have strong explanatory power, including AH equity premium rate, price earnings ratio, and exchange rate variation rate. Results of robustness check for 21 sub-samples show the same conclusion of the main results in full sample analysis. At last, we propose several enlightenments and policy recommendations for all three impact factors.

关 键 词：交叉上市股票 价格发现 影响因素 

分 类 号：F830[经济管理—金融学] O212[理学—概率论与数理统计]