开盘对隔夜信息的揭示效率——基于A股和H股的实证研究

Information Revelation Efficiency of Opening Period:An Empirical Study Based on A&H shares

以A+H股上市公司为样本,运用加权价格贡献法比较了A股和H股开盘阶段对隔夜信息的揭示效率。研究结果发现,无论是A股还是H股,公司规模越大,开盘阶段的信息揭示效率越高;两市场开放度、成熟度、市场结构和交易机制的区别导致H股开盘阶段的信息揭示效率高于A股。

Based on the data of A＆H cross-listing firms, this paper compared the efficiency of opening period to reveal overnight information for A shares and H shares using the method of weighted prices contribution. It was found that for both A and H shares, the bigger the company was, the more efficient the opening period was in information revelation. Moreover, opening period was more information efficient for H shares than A shares due to the difference between two markets in market maturity, opening degree, market structure and trading mechanism.