A股、H股市场分割影响因素实证

An Empirical Analysis of Market Segmentation Factors between A-shares and H-shares

同时在内地和香港上市的公司的H股相对A股的折价问题,历来吸引了许多研究者的关注。本文采用2004年到2009年的样本数据,对A股、H股市场分割影响因素进行实证分析,主要基于市场分割理论、信息不对称假说、流动性差异假说等,建立计量模型,分析长期以来H股相对A股折价的主要影响因素。实证分析结果证明,H股的折价主要受到风险偏好差异、流动性差异、信息对称程度的影响,而市场需求(供给)差异并未对H股相对A股的折价造成显著影响。

Researchers have long noticed the discount problems between A-Shares and H-Shares in the companies registered on the Mainland and in Hong Kong at the same time. An empirical analysis is made on the sample data from 2004 to 2009, with regards to the market segmentation factors. A measurement model is established on the basis of market segmentation theory, information asymmetry hypothesis, as well as liquidity diversity hypothesis, to analyze the major long-term factors in the discount of the H-Shares against the A-shares. Statistical results show that, the discounts of H-shares are mainly affected by differences in risk preferences, liquidity diversity, degree of information symmetry, while the differences of market demand （ supply ） do not have a significant impact on it.