中国股票市场外国投资者所有权投资的限制与市场分割

Limitations to the Investment of Foreign Investors' Proprietorship andthe Market Segmentation in China's Stock Market

本文针对中国股票市场1992-1997年度的A股和B股的市场分割问题进行研究,并讨论了B股大幅度折价的原因。研究发现A、B股价差的主要原因是B股市场缺乏流动性。B股相对缺乏流动性导致了投资者较高的期望收益,因此定价较低,以补偿投资者增加的交易成本。但是,在这两类股票中,B股价格比A股价格更接近于市场基本面。因此,本文认为,1992-1997年度的中国股票市场,实际上是A股溢价,而不是B股折价。

This paper studies the issue of market segmentation of A shares and B shares in the Chinese stock market during the years of 1992-1997, and discusses the reasons for the deep discount of B shares. It is found through the research that the lacking of liquidity in B shares market caused the spread between A and B shares, And this leads to investors' higher expected income, thus pricing lower, so as to make up for the investors' added transaction cost. In fact, however, the price of B shares was closer to the market price, the paper, therefore, holds that during the years of 1992-1997, in China's stock market, it actually was not that B shares were at a discount but that A shares were at a premium.