交叉上市、股票发行定价与市场溢出效应

Cross-Listing,IPO Pricing and Spillover Effect

交叉上市会影响原上市地股票价格,产生所谓的溢出效应。对我国先H股后A股和先A股后H股两种交叉上市路径的企业进行实证研究后发现,两种交叉上市路径在招股公告日和交叉上市日前后,对原市场均产生了明显的波动溢出效应。其中,招股公告日效应主要表现为负向效应,交叉上市日效应则表现为正向效应。进一步的实证研究发现,先H股后A股上市公司对H股所产生的溢出效应,主要是受A股市场高发行溢价率和A股股票高收益预期的影响,而先A股后H股上市公司对A股市场产生的溢出效应,可能源于市场发达程度差异,以及由此所产生的对上市公司治理效率、信息披露、监管和投资者保护等方面的改善预期。

Cross listing can lead to the fluctuation of stock price in the original listing market with the so –called spillover effect .This paper explores the spillover effect of the H share to A share or A share to H share cross listings .It is found that both ways of the cross listings can cause spillover effect on the days before and after the company’s announcement date and its listing date .The announcement date effect is negative ,but the listing date effect is positive .Further research found that the spillover effect to the H stock market of the cross listings returned from H share to A share are mostly affected by the A share ’s listing price and the expected re‐turn of A market .But the spillover effect to the A stock market of the cross listings returned from A share to H share are mostly caused by the difference of the market maturity ,and the investors’ expectation of the effi‐ciency of corporate governance ,disclosure of information ,supervision ,investor protection and other factors .