H股相对于A股的折让研究  

Research on the Discount between H Share and A Share

作　　者：李大伟[1] 朱志军[1] 陈金贤[1] 

机构地区：[1]西安交通大学管理学院,陕西西安710049

出　　处：《中国软科学》2004年第1期37-42,共6页China Soft Science

基　　金：国家自然科学基金委员会优秀创新群体项目(70121001);国家自然科学基金项目(B类-70028102)资助

摘　　要：H股作为中国证券市场的一个有效补充,对中国吸引外资、促进国外投资者了解中国企业起到了极大的作用。考虑到H股市场得到信息的快捷性和准确性,本文重点研究了A股和H股之间的折让关系,建立了概念模型,提出了假设,而后的数据实证从横截面数据和时间序列数据验证了我们认为的部分因素对这种折让关系影响的假设。As an effective complementarity to domestic A share market, H share market has played an important role in attracting foreign capital flows into mainland.Considering that H share market enjoys relatively more freedom of information and has greater and faster access to global news sources,the paper mainly researched on the discount between H share and A share. By constructing the model and proposing the proposition, our empirical test confirms our proposition about the factors affecting this discount both from the cross-section and time-serial data.

关 键 词：H股 A股 折让率 信息不对称 流动性 分散化收益 中国 证券市场 

分 类 号：F832.51[经济管理—金融学]