摘要
内地和香港在股票卖空制度、汇率制度以及新股发行制度等方面存在重大差异。本文研究这些重大制度差异对A、H股二级市场定价差异的影响,发现A股禁止卖空使A股相对H股更容易被高估;中国外汇储备增长越快、人民币升值压力越大,H股折价就越轻。A股在一级市场越被高估,就会在二级市场被进一步高估,间接反映出新股发行制度差异对A、H股二级市场定价差异的影响。除这些制度差异外,需求价格弹性差异、资金成本差异以及信息不对称也是影响A、H股二级市场定价差异的显著因素。
Pricing differences of A shares and H shares exist in first and secondary market and results in the pricing differences between first and secondary market.This paper focuses on the institutional differences to analyze the pricing differences in A shares and H shares and finds the differences in short trading,exchange rate regime and IPO institutions affect the pricing in secondary market obviously.Pricing elasticity of shares demand,cost of capital and Pricing elasticity of shares demand would also be the obvious factors to affect the pricing.
出处
《金融评论》
2009年第1期84-93,共10页
Chinese Review of Financial Studies
关键词
制度差异
A、H股定价差异
股票估值
Pricing differences in A & H shares
Pricing elasticity of shares demand
Institutional differences
Cost of capital
