中國A股與香港H股之折溢價實證分析

An Analysis of the Price Difference of A shares and H shares of Dual-listed Companies

邱振祥(Cheng-Hsiang Chiou)

指導教授 ： 李存修

共同指導教授 ： 趙義隆(Yi-Long Jaw Ph.D.)

國立臺灣大學/管理學院/國際企業管理組/碩士(2010年)

https://doi.org/10.6342/NTU.2010.01716

摘要

中國與香港股票市場因不同的投資環境、投資人結構以及無法自由轉換，造成同一家公司雙邊掛牌的A股和H股價格的差異。並普遍地呈現A股價格高於H股的現象，因此本文研究探討造成H股折價的原因。
59家整體之實證結果顯示供給假說、市場效果假說中之香港股價指數變數、資訊不對稱、相對流動性等可以解釋H股折價的原因，而投資者投機性程度假說則與預期不一致。
另以8家金融業之實證結果，顯示供給假說、市場效果假說、資訊不對稱等可以解釋H股折價的原因。而投資者投機性程度假說則與預期不一致，相對流動性呈現不顯著，無法解釋折價原因。
在產業別的折價率方面，呈現大幅的差異，金融業最低6%，地產建築業23%次之，其他產業則為高折價率的現象。最後參考實證的結果，提出投資金融類H股之投資意涵，並認為高折價率之A+H股非最適之投資建議。

關鍵字

A股 ； H股 ； 折價率 ； 市場分割 ； 雙重上市

並列摘要

Due to differences of market characteristics in terms of market condition, investors structure and inconvertibility between A shares and H shares between China and Hong Kong stock markets, prices on A shares and H shares representing the same company are different. Normally A shares are higher than H shares. In this report, we aim to analyze the determinants of price discount on H shares.

From all fifty-nine companies our empirical results show that H shares discount can be explained by supply hypothesis, one variable of Hong Kong index from market effect hypothesis, asymmetric information hypothesis and liquidity hypothesis. However investors speculative trading hypothesis is not consist with our expectation. From eight financial institutions samples our empirical results represent that supply hypothesis, market effect hypothesis, asymmetric information hypothesis do affect H shares discount. While investors speculative trading hypothesis is not consist with our expectation and liquidity hypothesis has little relationship with H shares discount rate.

From industry respect, financial industry has lowest discount rate on six percent, properties and construction industry ranked at number two with twenty-three percent and other industries have even higher discount rate. We would conclude to invest in H shares of financial institutions and to avoid A and H shares with high discount rate would be a better option.

並列關鍵字

A Shares ； H Shares ； Discount ； Market Segmentation ； Dual listing

參考文獻

4.袁敏真(2008) ，「中國大陸A股與H股價差之研究」，國立政治大學金融研究所碩士論文。

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

2.Bailey, W. (1994): “Risk and Return on China’s New Stock Markets: Some Preliminary Evidence.” Pacific-Basin Finance Journal, 2, 243-260.

3.Bailey, W. , P , Chung and J-K ,Kang (1999): “Foreign Ownership Restrictions and equity price premiums: What drives the demand for cross- border investments?” Journal of Financial and Quantitative Analysis , 34, 489-511

4.Chen, G. M., B-S Lee., and O. Rui (2001): “Foreign Ownership Restrictions and Market Segmentation in China’s Market.” Journal of Financial Research, 24, 133-155.