本文利用71家同時發行A、B肢的雙重掛牌公司,探討2001年B股向境內居民開放政策,對中國大陸股票市場效率怯和B股折價比率的影響。本文實t查結呆如下:第一、在B股開放前,太多數雙重扮牌公司A、B股的價格並無共整合關像。第二、B股開放後,太多數雙重掛牌公司A、B股價格均存在共登合關條。第三、Granger因果關你檢定顯示,在B股開放前,外國投資人略有訊息優勢,但B股開放後,則是大陸投資人較具訊息優勢。第四、我們發現「流動性差異假說」及「需求差異假說」,是造成B股折價的主要原因。第五、在B股開放之後,「流動性差異假說」及「需求差異假說」有更顯著的加強效果。
This paper investigates how the efficiency of Chinese stock markets and B-share discounts are affected by the policy of B-share's opening to domestic residents in 2001 for seventy-one A- and B-share dually-listed companies. The empirical results are as follows. First, before the period of the B-share opening to domestic residents, there is no cointegration relationship between A- and B-share prices for most dually-listed stocks Second, after the period of the B-share opening to domestic residents, there is a cointegration relationship between the A-and B-share prices. Third, the results of Granger-causality test show that foreign investors possess slightly information advantage over the Chinese domestic investors before the period of the B-share opening to domestic residents, but the Chinese domestic investors have an information advantage after the B-share's opening to domestic residents. Fourth, we find that discounts in the B-share price are due to liquidity-differential and demand-differential hypotheses. Finally, after the period of the B-share opening to domestic residents, the discounts in the B-share price decline substantially due to the reinforcement of liquidity-differential hypothesis and demand-differentialhy pothesis.