对同股同权的A股与H股的价差分析

Analysis on the differences between dual-listed A-share and H-share prices

在股权分置改革基本完成后,A+H股的价差已经呈现出很多新的现象,需要做进一步的解释和分析.利用近两年两市42家公司的数据,选择随机效用回归模型,并进行显著性检验;从而,对这些数据进行聚类分析,总结出各类具备的特点及产生的内在原因.

After the reform of the split share structure,the differences of dual-listed A-share and H-share prices have implied many novel phenomena,which are worth of further analysis.The data of 42 dual-listed companies in recent two years were studied.With the random effects regression model and significance based hypothesis test,these data were clustered and the different reasons behind these price differences were summarized.