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摘要市场分割是指在不同的市场上，同一商品由于信息不对称、法律、偏好等诸多因素会导致其供求关系存在差异，从而表现出不同价格的现象。在国际其他的分割市场上，通常会出现内资股“折价”现象，然而在中国，情况却是截然不同的。文章以沪港通前后AH股为研究对象，探讨了造成我国A股溢价的影响因素，选取了市场情绪、汇率、相对投机程度、信息不对称、相对流动性、分散化利益、M2作为解释变量，利用EVIEWS软件对模型进行检验修正，分析造成沪港通前后价差变化的影响因素。实证结果表明，市场情绪和汇率是造成溢价最显著的因素。然而，大部分解释变量与溢价关系在沪港通前后表现出差异性：汇率在沪港通前与溢价成正比，在沪港通后与溢价成反比；相对投机程度沪港通后与溢价成正比，而在沪港通前无法通过检验；信息不对称沪港通前与溢价成正比，沪港通后不能通过检验；相对流动性在沪港通前后与溢价分别成反、正比；分散化利益无法通过沪港通前的模型假设，沪港通后与溢价成反比。30738
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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