沪港通前后AH股价差影响因素分析
关键词 AH股价差 沪港通前后价差影响因素 实证分析
毕业论文外文摘要
Title Studying on the influence factors of A-H share premium before and after the Shanghai-Hong Kong Stock Connect program
Abstract
Market segmentation means that in the different markets,the same goods has different prices due to asymmetric information,laws,preferences,and many other factors which results in inconsistent behavior between supply and demand.The market segmentation internationally usually shows that the domestic stock has a much lower price compared with foreign stock.But in China,the situation is on the contrary.In this paper, A-H share of Shanghai-Hong Kong Stock Connect program were selected as the research objects,so that to discuss the impact of China's A-share premium.Information asymmetry,M2,market sentiment, persified interests,exchange rate,relative mobility and speculative are selected as explanatory variables with using EVIEWS software verify and modify the results,and analyze the influencing factors of spreads before and after the Shanghai-Hong Kong Stock Connect program.The results show that the market sentiment and exchange rate are the most significant factors causing the premium.However,the relations between some explanatory variables and premium become different.For example,exchange rate is in proportion to premium before Shanghai-Hong Kong Stock Connect program but it’s inversely proportional to premiums after it;Speculative only works after Shanghai-Hong Kong Stock Connect program; Asymmetry only takes effect before Shanghai-Hong Kong Stock Connect program; Relative mobility turns out contrarily to original hypothesis before Shanghai-Hong Kong Stock Connect program but it’s similar to original hypothesis after it; Diversified interests is inversely proportional to premiums after Shanghai-Hong Kong Stock Connect program, but have no persuasiveness after that.
Keywords A-H share premium Factors of A-H share premium before and after Shanghai-Hong Kong Stock Connect program Empirical analysis
目 次
1 绪论 1
1.1 折价现象 1
1.2 沪港通之后关于AH溢价的争议 1
1.3 论文研究框架 1
1.4 论文的创新之处 2
2 文献综述 3
2.1 市场分割理论概述 3
2.2 A股和H股长期存在价差现象的理论支持 3
2.3 沪港通对AH股的影响 6
3 对AH股价差的理论解释 7
3.1 传统的均衡价格理论对中国AH股溢价缺乏解释能力 7