我国融券制度的推出是否减小了AH股价差?

Does Securities Margin Trading in China Decrease A-H Share Price Difference?

本文研究了融券制度的推出对AH股价差的影响,主要运用事件研究法和双重差分模型分析了2009到2013年57家AH股上市公司。实证结果表明:考察期内,多数上市公司的A股相对于H股存在溢价,但AH股价差呈下降趋势;2010年开始实行的融券制度的实施显著减小了第一年的AH股价差。研究结果间接证明,融券制度有助于AH股价趋同。结合目前该制度实施情况,本文认为我国应进一步扩大融券交易的规模,充分发挥卖空机制的价格发现功能。

This paper studies the impact of securities margin trading on A-H share premium.We use event study and Differ- ence-in-Difference model, to explore the data of 57 A-H listed firms from 2009 to 2013. The empirical results suggest that during the study period, most of the listed companies have A-H share premium, but the premium is shrinking due to securities margin trad- ing, Results of this paper indirectly prove that securities margin trading improves the quality of pricing. This paper suggests that China should put more effort into expanding the securities margin trading to make full use of price discovery mechanism, making A-H price convergence.