中国股票市场A、B股价格差异研究

An analysis on the B-share discounts in the Chinese stock market

对于中国股票市场的B股折价现象,我们在结合国外学者提出的各种理论假说模型的基础上,经过广泛的实际调研,并借鉴Fama&French的动态组合思想,按各因素进行股票动态组合,再应用因子分析及paneldata模型,证明了影响中国股票市场A、B股价格差异的最主要原因是资本管制因素;另外,投资理念差异、流动性差异和相对需求差异也是显著的影响因素。

In contrast to most of other countries, Chinese foreign class B shares are traded at a discount rather than a premium relative to the prices of domestic A shares. This is called 'Chinese discount puzzle'. In this paper, in light of Fama and French's method of dynamic portfolios, we categorize all the listed companies that issued both A shares and B shares in China stock markets into 9 portfolios ascending according to factor. And the portfolios are reshuffled each month. In this way, with an extensive social investigation, the factor analysis and various panel data models, we reveal that the capital and investment restrictions, the supply factor, the relative liquidity and the behavioral factor are the main reasons for the B-share price discounts. Particularly, the method of dynamic portfolios is firstly used to analyze the stock discount or premium phenomena in this field.