滬港通政策對於A+H股折溢價、宣告效果、及市場效率性影響

The Impact of Shanghai-Hong Kong Stock Connect Policy on Price Difference, Announcement Effects and Market Efficiency of A Shares and H Shares

林娟卉(Jyuan-Huei Lin)

指導教授 ： 黃漢青

中原大學/商學院/國際商學碩士學位學程/碩士(2015年)

https://doi.org/10.6840/cycu201500698

摘要

本研究以2014年八月至2015年2月為研究期間，運用日資料探討滬港通政策對於A+H股折溢價、宣告效果及市場效率性影響。為了使研究具有比較性，選用中國及香港兩地共同交易日作為樣本。
首先，本研究探討滬港通政策會影響個股股價折溢價之因素，本研究發現上市時間及上證180樣本股兩項因素對於折溢價有顯著影響；此外，本研究發現實行滬港通政策後之折溢價大於實行滬港通政策之前之折溢價。接著，本研究發現滬港通政策之實行確實帶來了宣告效果。本研究也運用過去股價報酬來檢驗弱式效率，也運用了買賣單不平衡方式檢驗強式效率，本研究發現市場效率性的確有變化。

關鍵字

折溢價；宣告效果；市場效率性

並列摘要

The purpose of this paper is to investigate the impact of “Shanghai-Hong Kong Stock Connect Policy” on price difference, announcement effects and market efficiency of A Shares and H Shares, using daily data covering the period from Aug., 2014 to Feb., 2015 from Bloomberg. To be comparability, we collect the day which has trading simultaneously.
First of all, we aim at investigating the factors, which have the impact on the price difference of A Shares and H Shares during “Shanghai-Hong Kong Stock Connect Policy”. We find that “listed time” and “SSE 180 sample share” variables have a significant effect on price difference. Moreover, we find that the price difference after “Shanghai-Hong Kong Stock Connect Policy” is bigger than the price difference before “Shanghai-Hong Kong Stock Connect Policy”. Secondly, we examine the announcement effects. We find that the implementation of “Shanghai-Hong Kong Stock Connect Policy” really has the announcement effects. Lastly, this paper explores the market efficiency related to “Shanghai-Hong Kong Stock Connect Policy”. We take past stock returns to test weak form market efficiency and use stock order imbalance to test strong form market efficiency. We find that the market efficiency has changed.

並列關鍵字

price difference；announcement effects；market efficiency

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