頁籤選單縮合
題名 | 中國大陸A股與B股雙重掛牌公司股價互動與價差原因之研究:B股開放政策前後的比較=Stock Price Interaction and Price Differential between Dually-Listed A- and B-Shares in China's Stock Market: A Comparison before and after the B-Share's Opening Policy |
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作者 | 陳建福; 劉世偉; | 書刊名 | 財務金融學刊 |
卷期 | 17:2 2009.06[民98.06] |
頁次 | 頁139-162 |
分類號 | 563.54 |
關鍵詞 | 中國大陸股票市場; 市場區隔; 共整合; Granger因果關係; China's stock markets; Market segmentation; Cointegration; Granger causality; |
語文 | 中文(Chinese) |
英文摘要 | This paper investigates how the efficiency of Chinese stock markets and B-share discounts are affected by the policy of B-share’s opening to domestic residents in 2001 for seventy-one A- and B-share dually-listed companies. The empirical results are as follows. First, before the period of the B-share opening to domestic residents, there is no cointegration relationship between A- and B-share prices for most dually-listed stocks. Second, after the period of the B-share opening to domestic residents, there is a cointegration relationship between the A- and B-share prices. Third, the results of Granger-causality test show that foreign investors possess slightly information advantage over the Chinese domestic investors before the period of the B-share opening to domestic residents, but the Chinese domestic investors have an information advantage after the B-share’s opening to domestic residents. Fourth, we find that discounts in the B-share price are due to liquidity-differential and demand-differential hypotheses. Finally, after the period of the B-share opening to domestic residents, the discounts in the B-share price decline substantially due to the reinforcement of liquidity-differential hypothesis and demand-differentialhy pothesis. |
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