中國資本市場政策開放對A-H股雙重上市公司溢價影響

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Title:	中國資本市場政策開放對A-H股雙重上市公司溢價影響 The Impacts of the Opening-up Policy of China Capital Market on Price Differential between A Shares and H Shares Co-Listed Companies
Authors:	馬珂邱哲修楊家彥
Contributors:	文大商管學報
Keywords:	隨機效果模型中國資本市場政策開放 A-H雙重上市公司溢價 A-H share price premiums The Law of One Price The Opening-up policy China capital market
Date:	2011-06
Issue Date:	2014-10-30 15:04:29 (UTC+8)
Abstract:	在中國資本市場未開放前，因A-H股雙重上市公司採取人民幣及港幣作為其計價貨幣、A股上市公司存有非轉讓之國有股、兩地投資者對於股票需求和風險趨避程度相異、中國境內投資者獲取資訊速度優於外國投資者，及香港資本市場相對中國資本市場更具自由化。因而促使A股及H股出現市場區隔，導致雙重上市公司溢價產生，違反「單一價格法則」之情況。本研究係以2000年1月至2008年12月之月交易資料，選取16家雙重上市公司，採用隨機效果模型。實證結果指出，不論中國資本市場是否開放QFII，上海A股及香港國企（H股）指數本益比比值及雙重上市公司週轉率比值，皆與其溢價呈現顯著正相關；雙重上市公司之成交量比值與其在A股市場流通股／非流通股比值，皆與雙重上市公司溢價呈現顯著負相關。中國QFII政策開放後，有效降低A股市場之不合理定價，縮減雙重上市公司溢價。而在股權分置開放後，雙重上市公司在A股市場之流通股／非流通股比值，對其溢價影響，相較開放前趨於縮減，由此可知，中國資本市場政策開放，並無法完全弭平雙重上市公司溢價。 As China capital market did not formerly open its capital account up, A shares and H shares market was continually segmented, this led to the companies co-listed in the A-H share markets with a great deal of price premiums, therefore violation of ”The Law of One Price” is necessary. The study draws sixteen co-listed companies in A-H share markets with the entire period of research being from January-2000 to December-2008. We will examine whether some factors generate different significant correlation with A-H share price premiums by means of ”panel random effect model”.The empirical result manifests that, firstly, irrespective of whether the opening-up policies of QFII policy has executed or not ,both Price Earnings Ratio between Shanghai A share index and Hong Kong H share index ,as well as turnover ratios among the companies co-listed in the A-H share markets are significantly positive correlation with its price premiums. Secondly, volume ratios among the companies co-listed in the A-H share markets and outstanding shares/non-outstanding shares ratio in A share market are significantly negative correlation with its price premiums. At last, based on the result, The Opening-up policy China capital market is not capable of fully contracting its premiums.
Relation:	文大商管學報； 16 卷 1 期 (2011 / 06 / 01) ， P1 - 30
Appears in Collections:	[College of Business Administration] Business Review

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