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1、 浙江大学硕士学位论文 H 股相对于 A 股折价的实证研究 I 摘摘 要要 我国证券市场成立时间比较晚，但是一成立就受到了国内外学者的关注， 尤其是对我国外资股折价这一独特现象，更是做了大量的研究。但是都集中于 对 B 股折价的研究，对 H 股折价的理论和实证方面的研究十分缺乏。本文应用 计量经济学和股票市场微观结构等理论和方法，从信息不对称、流动性差异、 分散化效应、需求弹性差异、风险规避程度差异和汇率风险等多方面对我国 H 股折价进行了深入的理论分析。并通过变量设计，建立多个模型对各个影响因 素进行了实证检验，以探究造成 H股相对于 A股折价的主要因素。 基于日数据的实证研究的结果表明：信
2、息不对称、流动性差异、需求弹性 差异和非流通股的体制因素等是影响我国H股相对A股折价的主要因素；信息不 对称因素对上升波段影响比下降波段显著；风险规避程度差异在下降波段对折 价率有一定的解释力，而对上升波段没有显著影响；流动性差异对上升波段的 影响较下降波段更为显著；波段分析还表明行业虚拟变量对折价率有显著影 响。 在我国证券市场逐步开放，市场合并的预期下，本文根据理论分析和实证 检验的结果，提出了相应的对策建议：一是要改善信息不对称状况，完善上市 公司信息披露制度，规范 A 股市场的价格信号体系；二是要引导 A 股市场的理 性投资，逐步培养理性投资的市场氛围；三是逐步解决股权分置问题，削弱非
3、 流通股对 H 股折价的影响，促进 A、H 股价格接轨；四是要逐步加大市场开放力 度，通过引入 QDII 和 CDR机制，进一步加强 A、H 股市场的互动性。 关键词： H 股 A 股 折价 影响因素 关键词： H 股 A 股 折价 影响因素 浙江大学硕士学位论文 H 股相对于 A 股折价的实证研究 II ABSTRACT Although the stock market of our country established later, it attracted foreign and domestic researchers eyes as soon as its foundation.
4、 Especially on this unique phenomenon of discount of foreign class share of our country, they have done a large amount of research. But the research almost concentrated on B-share discount. H- share has received little attention both on theoretic study and empirical study. This thesis uses the theor
5、ies of the econometrics and microstructure of stock markets, analyse H-share discount theoretically from information asymmetry, liquidity effect, diversification benifit, demand elasticity, risk choice degree and exchange rate risk, etc. Cross-sectional model and panel model is constructed to examin
6、e each influence factor in order to probe into to the main factors causing H-shares discount. The result based on empirical test of diurnal data shows: information asymmetry, liquidity effect, demand elasticity difference and non-negotiable stock factor are the main factors of H-share discount. Info
7、rmation asymmetry effects discount more remarkably during rising band than drop phase. Risk choice degree can explan the rate of discount during drop phase, but has no influence during rising phase. Phase ananlyse indicate that industrial factors have conspicuous effects on discount. Under the expec
8、tancy of markets amalgamating, according to the conclusions of theoretical analysis and empirical study, the thesis offers four suggestions: First, improve information asymmetry, perfect the system of information publish, and norrnalize the system of price signal of A-share; Second, lead A-share inv
9、estors to invest reasoningly, and cultivate market atmosphere of rational investment; Third, weaken the influence of non-negotiable stocks and close the price of A-share and H- share; Fourth, strengthen the open of the markets progressively, enhance the interdynamic between A-share market and H-shar
10、e market futher through the introduction of QDII and CDR. Keywords: H Share A Share Discount Influence factors 浙江大学硕士学位论文 H 股相对于 A 股折价的实证研究 III 目 录 目 录 摘 要.I摘 要.I ABSTRACT.IIABSTRACT.II 1 导言 .11 导言 .1 1.1 问题提出与研究意义.1 1.2 本文的研究方法.3 1.3 本文的研究框架.3 1.4 本文的创新点.4 2 H 股市场的概述 .52 H 股市场的概述 .5 2.1 H股市场的发展历程.5 2.2 A、H 股市场分割.7 3 文献综述 .113 文献综述 .11 3.1 外资股折（溢）价状况概述.11 3.2 对外资股折（溢）价成因的解释.12 3.1.1差异估价模型.12 3.1.2信息不对称理论.17 3.1.3流动性差异假说.18 3.1.4行为金融学的观点.19 3.3 对我国 H股折价的研究现状.
