我国AH交叉上市公司股票价格差异的影响因素研究

Research on the Influencing Factors of Stock Price Differences of Chinese AH Cross-listed Companies

近年来为拓展融资渠道与机会,越来越多的中国企业选择在AH股市场上交叉上市。随着我国资本市场的不断改革发展,有关AH股票价格差异的研究成为持续性的热点话题。为捋清改革发展阶段中我国AH股票价格差异的影响因素,在采用面板数据的基础上,进行可行广义最小二乘法(FGLS)估计以及安慰剂检验。研究发现:(1)AH股票价格差异主要表现为AH溢价,平均溢价率呈现先增加后减小的变化趋势;(2)需求弹性差异假说、流动性差异假说以及信息不对称假说都能在该阶段很好地解释AH股票价格差异存在的现象;(3)深港通政策开放后显著缩小了AH的溢价程度,且主要通过提升A股的需求弹性缓解溢价现象。对AH股票价格差异的影响因素进行研究,有助于为缓解内地香港地区市场上出现的分割现象、减小A股的溢价水平、加强证券市场的有效性与效率提供相关的思路,具有一定的现实意义。

In recent years,in order to expand financing channels and opportunities,more and more Chinese companies choose to cross-list on the AH stock market.With the continuous reform and development of China’s capital market,the research on the price difference of AH stocks has become a hot topic.Panel data,Feasible Generalized Least Square(FGLS)estimation and placebo test are used to explore the status and influencing factors of stock price differences.The results show:1)AH stock price differences mainly show AH premium,and the average premium rate shows a trend of increasing first and then decreasing.2)The demand elasticity difference hypothesis,the liquidity difference hypothesis and the information asymmetry hypothesis can well explain the phenomenon of AH stock price difference at this stage;3)After the opening of the Shenzhen-Hong Kong Stock Connect policy,the premium of AH has been significantly reduced and the premium phenomenon has been alleviated mainly by improving the demand elasticity of A-shares.The research on the influencing factors of AH stock price differences will help to provide relevant ideas for alleviating the segmentation phenomenon in the mainland Hong Kong market,reducing the premium level of A shares,and enhancing the effectiveness and efficiency of the securities market.significance.