基于噪音交易者视角的AH股价差分析  

Analysis of AH Stock Price Difference Based on Noise Trader's Perspective

作　　者：顾舒婷 刘登江 俞小平[1] GU Shu-ting;LIU Deng-jiang;YU Xiao-ping(School of Economics and Management,Nanjing Forestry University,Nanjing 210037,China)

机构地区：[1]南京林业大学经济管理学院,南京210037

出　　处：《中国林业经济》2020年第6期117-119,共3页China Forestry Economics

基　　金：南京林业大学大学生创新训练计划项目“沪港通制度下我国AH股价差因素分析”(2019NFUSPITP0935)。

摘　　要：多地上市的公司股价可能存在明显差异,从噪音交易者的视角,以同时在深港两地双重上市的16家公司为样本,剖析造成AH股价差的原因。研究发现:深港俩地的噪音交易差异是阻碍AH股价差收敛的一个重要因素。表明虽然我国通过深港通政策打破了俩地的市场分割,但俩地的资本市场发展差异程度依旧会阻碍AH股价差的收敛,从而也说明了加大国内资本市场深度仍具有迫切性。There may be significant differences in the stock prices of companies listed in multiple places.From the perspective of noise traders,this paper analyzed the reasons for the difference in AH stock prices by using 16 companies that were dually listed in Shenzhen and Hong Kong as samples.It found that the dif⁃ference in noise trading between Shenzhen and Hong Kong was an important factor hindering the conver⁃gence of the AH stock price differential.It showed that although my country has broken the market segmen⁃tation between the two places through the Shenzhen-Hong Kong Stock Connect policy,the difference in the development of the capital markets between the two places would still hinder the convergence of the AH share price difference,which also showed that it is still urgent to increase the depth of the domestic capital market.

关 键 词：AH 股价差噪音交易者深港通 

分 类 号：F830[经济管理—金融学]