A+H双重上市公司股票价格差异与汇率变动研究

Stock Price Disparities and Fluctuations in Exchange Rates:The Case of the A- and H-shares of Chinese Companies

随着我国资本市场的不断发展,内地股票市场和香港股票市场的联系更加紧密,越来越多的公司选择在两地同时上市,双重上市公司股票价格存在的巨大差异,成为众所关注的焦点问题。本文运用面板数据,对两地股票价格差异的变动与汇率变动之间的关系进行研究,并对汇率制度改革前后两地股票市场的表现进行了分析。研究结果表明,双重上市公司股票价格差异的短期变动与汇率短期变动之间存在负向关系。在汇率制度改革之后,汇率的短期变动对双重上市公司股票价格差异变动的影响程度减弱。

With the development of the Chinese capital markets, the ties between the mainland and Hong Kong stock markets have also become closer. A growing number of companies choose to have their shares listed in both markets.Stock price disparities between a company＇s A-shares and H-shares have attracted attention and become an important issue. In this paper, we investigate the stock price disparities between the A- shares and H- shares of Chinese companies listed in Shanghai and Hong Kong. We use a panel data model to examine the relationship between movements in the stock price disparities and exchange rates and also compare the performance of the two stock markets before and after the exchange rate structural reforms. Different models show that the results are robust. We conclude that, when there is a temporary real depreciation of the Chinese currency, the stock price disparity between A-shares and H-shares decreases.After the exchange rate structural reforms, the influence of exchange rate movements on the stock price disparities gradually weakens.