中國大陸A股與香港H股關聯性與折價之研究

Correlation and Price Discount between A Shares and H Shares in Chinese and Hong Kong Stock Markets

駱志威(Jhih-Wei Luo)

指導教授 ： 陳達新

國立臺北大學/商學院/企業管理學系/碩士(2010年)

摘要

在中國股票市場開始運作初期，位於中國大陸上市的A股被限制只能是中國的公民才能進行交易，而位於香港上市的H股也被限制只能是香港居民或是其他國家的外國人才能進行買賣。然而這些的限制在近年來有逐漸放寬的趨勢，使得中國的股票市場漸漸的轉變。在這篇研究當中，我們以2005年到2009年的資料，分別利用了Johansen共整合檢定、Granger因果關係檢定以及追踨資料模型，並且以合格境內機構投資者(QDII)政策的開放做為時間點的分割，針對A股和H股的長期趨勢、互動性以及價差之間的影響因素進行研究。其結果發現，開放後的股價更具有共整合的關係，這表示兩個市場之間的區隔性正逐漸的消除。另外，在股價的訊息傳導方面， A股的股價比H股更具有主導的地位。然而，訊息的不對稱性、投資需求差異假說以及股票市場的流動性，分別對A股和H股的價格差異具有顯著的影響，代表對兩個股票市場的價格差異扮演了重要的角色。

關鍵字

A股 ； H股 ； Johansen 共整合 ； Granger因果關係 ； 價格差異

並列摘要

In the early period of China’s stock market, transactions of A shares in China were limited to Chinese citizens, while transactions of H shares in Hong Kong were limited to HK citizens, or foreigners from other countries. However, these restrictions have been gradually lifted in recent years, progressively shifting China’s stock market. Thus study adopts the Johansen co-integration test, the Granger causality test, and the panel data model to analyze the collected data from 2005 to 2009, discuss the long- term trends of A and H shares, the interaction between them, and the influence of the price spread factor before and after exercising a qualified domestic institutional investor (QDII) policy. The results represent a more co-integrational relationship between the two segmented stock prices after enforcing the policy, which indicates that the segmentation of the two markets had gradually shrunk. In addition, in the price signaling aspect, the price of A shares exhibited a leading position rather than the price of H shares. On the other hand, information asymmetry, investment demand difference hypothesis, and the liquidity of the stock market, significantly affected the price spread of A and H shares, powerfully explaining the price difference between the two markets.

並列關鍵字

A shares ； H shares ； Johansen co-integration ； Granger causality ； Price difference

參考文獻

Amihud, Y. and H. Mendelson (1986), Asset Pricing and the Bid-Ask Spread, Journal of Financial Economics, Vol.17, pp. 223-249.

Bailey, W. (1994), Risk and Return on China New Stock Market: Some Preliminary Evidence, Pacific-Basin Finance Journal, Vol. 2, pp. 243-260.

Bailey, W. and Jagtiani, J. (1994), Foreign Ownership Restrictions and Stock Prices in the Thai Capital Market, Journal of Financial Economics, Vol. 36, pp. 57-87.

Chakravart, S., Sarkar, A. and L. Wu (1998), Information Asymmetry, Market Segmentation and the Pricing of Cross-listed Shares: Theory and Evidence from Chinese A and B Share, Journal of International Financial Markets, Institutions and Money, Vol. 8, pp.325-355.

Chen, G.M., Lee, B.S. and Rui, O,M. (2001), Foreign Ownership Restrictions and Market Segmentation in China’s Stock Markets, Journal of Financial Research Vol.24, pp. 133-155.