摘要
文章以A、B股双重上市公司的股票为研究对象,用面板数据检验信息不对称假说、风险差异假说、流动性假说和需求差异假说等市场分割理论对A、B股的价格差异进行解释,发现流动性假说和信息不对称假说对A、B股价差具有一致、显著的解释力。然后以B股对内开放为截点把数据分为两个样本,运用协整检验法和Granger因果检验分析法对双重上市公司A、B股之间的长期均衡关系和短期引致关系进行检验,结果表明随着B股的对内开放,绝大部分双重上市公司发行的A、B股之间建立了新的协整关系,双重上市公司发行的A股对B股的信息导向作用大于B股对A股的信息导向作用。
The paper first analyzes the influencing factors for the A-B share price spread with market segmentation theories, and finds that the assumptions of liquidity and information asymmetry do constitute the consistent and powerful explanations for the price spread between the two markets. Then it examines the integration of A share and B share by utilizing cointegration test and Granger Causality test with two sub-samples, and concludes that the segmentation of the two markets is narrow after the opening-up of B share to the mainland investors.
出处
《国际经贸探索》
CSSCI
北大核心
2009年第9期58-62,共5页
International Economics and Trade Research
基金
国家自然科学基金重点项目(70532003)
关键词
B股
市场分割
面板分析
协整分析
B share
market segmentation
panel data analysis
eointegration test
