内地与香港证券市场互动——基于股改完成后A+H股价差的实证研究

Stock Market Interactions between Mainland and Hong Kong——An Empirical Study on the AH Dual-listed Firms after the Share Merger Reform

采用固定效应估计方法的34家A+H股双重上市公司的静态面板数据模型的实证结果显示,不再考虑流通股在总股本中的比重后,系统性风险差异、信息不对称、需求差异和流动性差异是内地和香港双重上市公司A股和H股价格差异的显著解释变量。要收窄价差,可以尝试增强内地和香港证券市场互动,同时同股同价上市,增加两市套利机制。

By applying Fixed Effects Estimates Method to the Static Panel Data Model of the selected 34 AH dual-listed firms, this paper demonstrates the latest determinants of price differentials between A and H shares. There are pronounced evidences to support the Information asymmetry hypothesis, the differential demand hypothesis, the liquidity hypothesis, excluding one of the proxy variable-AIE. To narrow price differentials, twins-listing and arbitrage mechanism is an effective way.