股票交叉上市与价格发现——来自中国“A+H”股的经验证据

交叉上市股票由于其对应于同一标的资产但却有着不同的价格表现,因此吸引了大量研究者的关注。本文以内地和香港股市交叉上市的"A+H"股票为研究对象,通过编制各自的综合指数代表两市的价格水平,采用协整检验、误差修正模型以及多元GARCH模型对A股和H股价格发现进行了多层次分析,研究结果显示:内地A股和香港H股价格走势虽然表现各异,但它们之间却存在长期稳定的均衡关系,且显著地受此长期均衡关系的调整;当股价偏离均衡状态时,H股和A股向均衡方向调整速度非常接近,不过,在收益率的引导关系上H股占有优势;在波动溢出关系上,主要表现为H股向A股的溢出效应。这些实证结果说明虽然A股和H股在价格发现功能上都扮演着重要角色,但总体而言,H股较A股具有更强的信息传递效率和价格发现功能。

Cross Listing and Price Discovery: Empirical Evidence from"A H"Shares

Cross-listed stocks, due to the same underlying assets but different price performance, attract a lot of researchers' attention. In this paper, we investigate the"A H"stocks which cross-list on the Mainland and Hong Kong stock market by compiling their respective composite index on behalf of the price level of the two markets, and employ cointegration test, error correction model and multivariable GARCH model to analyze the price discovery of A-shares and H-shares on multi-level. The results show that: although the price trends of A-shares and H-shares perform quite differently, there is a long-term stable equilibrium between them by which both of them are significantly adjusted. But when they approach to the equilibrium state, H-shares adjust speed is similar to A-shares, but, H-shares possess the leadership of the returns, and as to the volatility spillover, H-shares have a relatively stronger spillover effect than A-shares. All these imply that although both A-shares and H shares play an important role in the price discovery, generally speaking, H-shares are more powerful than A-shares in information transmission and price discovery.