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1、上海证券交易所 A 股和 B 股区别论文翻译（中英文对照） A. Data and Preliminary StatisticsThe trading processes for A- (local) and B- (foreign) shares on the Shanghai Stock Exchange (SHSE) and the Shenzhen Stock Exchange (SZSE) are similar. Both exchanges run order-driven, automated markets. Neither exchange has designated m
2、arket makers. Traders can only submit limit orders, which arrive at an electronic consolidated open limit order book (COLOB). An incoming order is automatically matched against the best standing limit order in the COLOB, according to the price-time priority principle. If it cannot be matched, then i
3、t is added to the COLOB. There is no block trading system that allows liquidity traders to trade large volumes in an upstairs market. Off-exchange trading and insider trading are both forbidden, but this is not tightly monitored. The minimum trade size is 100 shares for local shares in both markets,
4、 but 1,000shares for Shanghai foreign shares and 100 shares for Shenzhen foreign shares.Our data consist of all time-stamped trades and quotes from January 2000to November 2001 for all stocks traded on the SHSE and the SZSE.7 We applya number of filters to our data. First, we limit the sample to fir
5、ms that tradedA- and B-shares throughout the sample period, thereby reducing the numberof firms from over 1,000 to 84. Second, we exclude eight firms, because onlyfor a few days we find nonzero volume in the B-share market. Third, for theremaining 76 firms, we remove days for which, for exogenous re
6、asons, therewas no or very limited trading in either the A- or the B-share market.8 Fourth,we remove stale quotes, which are easily recognized through zero depth. Fifth,the first and last 15 minutes of each trading session are removed from thesample.A.数据和初步统计A 股和 B 股在上海证券交易所和深圳证券交易所的交易程序都是类似的。二者的交易都
7、是以买卖盘带动，且都使用电脑进行自动化交易。二者都没有指定的做市商。而且，交易者只能通过一个开放的电子综合限价书（COLOB）来提交限价购买委托书。按照时间和价格优先的原则，买入委托单会自动和 COLOB 中最佳的限价单进行匹配。如果不能匹配，则会将买入委托单加入到 COLOB 中。并不存在大宗交易系统允许流动交易者在上层市场进行大宗交易。场外交易和知情交易都是被禁止的，但检测系统并不十分严格。上交所和深交所的最低 A 股交易额均为 100 股，但上交所最低 B 股交易额为 1000 股，深交所为 100 股。我们的数据包含了从 2000 年 1 月份到 2001 年 11 月份之间深交所和上
8、交所包含具体时间的交易和报价。我们对数据进行了过滤。首先，我们将样本数据限制为在此时间内在 A 股和 B 股市场都有交易发生的公司，这样一来将公司数目由 1000 缩减为 84。其次，我们排除了 8 家公司，因为他们在 B 股市场的只进行了短短数天的交易。再次，对于剩余的 76 家公司，我们将它们因为外部原因，在 A 股或者 B 股市场交易量都非常小的日期排除在外。第四，我们将陈旧报价排除在外，它们很容易识别，因为深度为 0。第五，样本中还排除了每个交易时段最初的 15 分钟和最后 15 分钟的交易数据。Table I provides trading statistics for the A
9、- and B-shares from January toDecember 2000, a period during which both markets were fully segmented.The table presents the cross-sectional mean, standard deviation, minimum,and maximum based on the 76 sample stocks. For comparison, the trade andquote data for the B-shares (in Hong Kong dollars for
10、SZSE and in U.S. dollarsfor the SHSE) are converted to yuan using the (fixed) official exchange ratefor the sample period. The average trade price in this period is 14.29 yuan($1.73) for A-shares and 3.10 yuan ($0.37) for B-shares. This corresponds to anaverage B-share discount of 72%, which is in l
11、ine with previous evidence (see,e.g., Bailey et al. (1999).表 I 提供了 A 股和 B 股在 2000 年 1 月至 12 月这一区间内的交易数据。在此期间内，两股市场是完全分隔开的。表中列出了 76 支股票的交叉截面平均值，标准差和最大和最小交易量。为了便于比较，B 股的报价和交易数据（深交所以港币计算，上交所以美元计算）被转换成了人民币计算，汇率所采用的是样本时间内的（固定）官方汇率。样本时间内 A 股的平均交易价格为 14.29 元（1.73 美元） ，B 股的平均交易价格为 3.10 元（0.37 美元） 。这相当于 B 股的
12、平均折价率为 72%，与前面的证据一致（详见 Bailey 等人， （1999） ） 。In terms of volume, the B-share market is about half the size of the A-sharemarketan average of 854,000 versus 1,684,000 shares per day. The A-sharemarket is more actively traded, as expected. Furthermore, we find that whilethe trading frequency is higher
13、in the A-share market, the transaction sizeis lower. This highlights the importance of controlling for trade size in ourspread decomposition analysis. Although the average quoted spread is 0.027yuan for A-shares and 0.035 yuan for B-shares, this difference is not significantat conventional confidenc
14、e levels. The effective spreads in the two markets areboth equal to 0.035 yuan.关于交易量，B 股平均每天的交易量为 A 股市场的一半左右，B 股平均每天的交易量为854,000，而 A 股为 1,684,000。正如人们预料的那样，A 股市场的交易更加频繁。但是，我们发现，尽管 A 股市场的交易较为频繁，它的交易规模反而比 B 股市场要小。这突出体现了我们在价差分解分析中控制交易规模的重要性。尽管 A 股和 B 股的平均报价差距分别为 0.027 元和 0.035 元，但这个差距在传统的置信水平上并不明显。两个市场
15、的有效价差都等于 0.035 元。B. Preliminary Analysis of Information Asymmetry MeasuresIn this subsection, we estimate the price impact coefficients (PI), adverseselection components (AS), and the probability of informed trading (PIN)measures, and we study whether these information asymmetry measures agree,cross
16、-sectionally, as to which securities exhibit the highest information asymmetry.We then relate these measures to the foreign share discount.In preparing the data for the estimation of PI and AS, we follow Glosten andHarris (1988) and truncate the trade size to 100,000 shares to avoid giving toomuch weight to large trades. The median truncation frequency is 0.28% and1.55% for the A- and B-share market, respectively. This is most likely the resultof more institutional investors who
