沪港通实施、资本流动与A-H股溢价Shanghai-Hong Kong Stock Connection,Capital Flows and A-H Premium
陆瑶,施新政,杨博涵,张叶青
摘要(Abstract)：
本文研究沪港通的实施对A-H股溢价的影响。本文发现,在沪港通实施后的短期内,主要是香港和海外的投资者通过沪股通投资沪市股票,A-H股溢价增加。该现象不符合"一价定律"。从长期而言,内地投资者通过港股通投资香港股票,使得溢价回落。我们进而发现,同一家公司在沪市和港市上共同的信息对资金流向影响不大,但是单边市场上的特有信息对资金流向的影响明显,可以看出新兴市场投资者进入新开放市场存在着相对更长的"学习过程"。
关键词(KeyWords)： 沪港通;市场分割;一价定律;信息不对称
基金项目(Foundation): 国家自然科学基金资助项目(71722001和71202020);国家自然科学基金资助项目(71673155)的支持;; 清华大学自主科研计划课题项目(2015THZWYY09)的支持
作者(Author): 陆瑶,施新政,杨博涵,张叶青
DOI: 10.16513/j.cnki.cje.20180102.001
参考文献(References)：
- 陈国进,王景.2007.我国公司A+H交叉上市的溢出效应分析[J].南开管理评论,10(4):36-42.
- 祁斌.2016.解读深港通媒体沟通会[EB/OL].http://mt.sohu.com/20160902/n467392067.shtml.
- 杨娉,徐信忠,杨云红.2007.交叉上市股票价格差异的横截面分析[J].管理世界,(9):107-116.
- Black F.1974.International capital market equilibrium with investment barriers[J].Journal of Financial Economics,1(4):337-352.
- Chan K C,Karolyi G A,Stulz R.1992.Global financial markets and the risk premium on U.S.equity[J].Journal of Financial Economics,32(2):137-167.
- Christelis D,Georgarakos D.2013.Investing at home and abroad:different costs,different people?[J].Journal of Banking and Finance,37(6):2069-2086.
- De Dreu J,Bikker J A.2012.Investor sophistication and risk taking[J].Journal of Banking and Finance,36(7):2145-2156.
- Doidge C.2004.U.S.cross-listings and the private benefits of control:evidence from dual-class firms[J].Journal of Financial Economics,72(3):519-553.
- Donaldson D.2010.Railroads of the RAJ:estimating the impact of transportation infrastructure[R].NBER Working Paper No.16487.
- Eun C S,Janakiramanan S.1986.A model of international asset pricing with a constraint on the foreign equity ownership[J].The Journal of Finance,41(4):897-914.
- Grable J E.2000.Financial risk tolerance and additional factors that affect risk taking in everyday money matters[J].Journal of Business and Psychology,14(4):625-630.
- Grauer F L A,Litzenberger R H,Stehle R E.1976.Sharing rules and equilibrium in an international capital market under uncertainty[J].Journal of Financial Economics,3(3):233-256.
- Griffin J M.2002.Are the Fama and French factors global or country specific?[J].Review of Financial Studies,15(3):783-803.
- Hail L,Leuz C.2004.Cost of capital and cash flow effects of U.S.cross listings[R].ECGI-Finance Working Paper No.46.
- Hamao Y,Masulis R W,Ng V.1990.Correlations in price changes and volatility across international stock markets[J].Review of Financial Studies,3(2):281-307.
- Harvey C R.1995.Predictable risk and returns in emerging markets[J].Review of Financial Studies,8(3):773-816.
- Hietala P T.1989.Asset pricing in partially segmented markets:evidence from the Finnish market[J].The Journal of Finance,44(3):697-718.
- Jensen R.2007.The digital provide:information(technology),market performance,and welfare in the South Indian fisheries sector[J].The Quarterly Journal of Economics,122(3):879-924.
- Jorion P,Schwartz E.1986.Integration vs.segmentation in the Canadian stock market[J].The Journal of Finance,41(3):603-614.
- Karolyi G A,Stulz R M.1996.Why do markets move together?an investigation of U.S.-Japan stock return comovements[J].The Journal of Finance,51(3):951-986.
- Karolyi G A.1998.Why do companies list shares abroad?a survey of the evidence and its managerial implications[J].Financial Markets,Institutions and Instruments,7(1):1-60.
- Kim E H,Lu Y.2017.Executive suite independence:is it related to board independence?[J].Management Science,forthcoming.
- Kumar P,Sorescu S M,Boehme R D,et al.2008.Estimation risk,information,and the conditional CAPM:theory and evidence[J].Review of Financial Studies,21(3):1037-1075.
- Massell B F.1969.Price stabilization and welfare[J].The Quarterly Journal of Economics,83(2):284-298.
- Mittoo U R.1992.Additional evidence on integration in the Canadian stock market[J].The Journal of Finance,47(5):2035-2054.
- Newbery D M G,Stiglitz J E.1981.The theory of commodity price stabilization[M].Oxford:Clarendon Press.
- Scott H S,Gelpern A.2012.International finance:law and regulation[M].London:Sweet&Maxwell.
- Solnik B H.1974.An equilibrium model of the international capital market[J].Journal of Economic Theory,8(4):500-524.
- Stehle R.1977.An empirical test of the alternative hypotheses of national and international pricing of risky assets[J].The Journal of Finance,32(2):493-502.
- Stulz R M.1981.A model of international asset pricing[J].Journal of Financial Economics,9(4):383-406.
- Stulz R M.1995.The cost of capital in internationally integrated markets:the case of Nestlé[J].European Financial Management,1(1):11-22.
- Stulz R M,Wasserfallen W.1995.Foreign equity investment restrictions,capital flight,and shareholder wealth maximization:theory and evidence[J].Review of Financial Studies,8(4):1019-1057.
- Wang S S,Jiang L.2004.Location of trade,ownership restrictions,and market illiquidity:examining Chinese A-and H-shares[J].Journal of Banking and Finance,28(6):1273-1297.
- (1)2016年9月30日,证监会发布内地与香港股票市场交易互联互通机制若干规定,旨在规范沪港通秩序,保护投资者合法权益。主要内容有三:一是将沪港通拓展为沪港通和深港通;二是明确了沪港通和深港通投资者的适当性管理遵循属地管理原则;三是为未来货币兑换机制的完善预留了制度空间。
- (1)恒生A-H股溢价指数反映了A股相对于H股的加权平均溢价状况。为了前后一致,我们此处截取了与后文一致的数据区间进行观察。
- (1)虽然这样的前提假定与实际情况不尽相符,但是由于之前提到的沪港通额度并没有出现使用完全的情况,因此我们可以认为两地交易者通过沪港通机制获得了绝对的交易自由实际上对于内地投资者仍然会有50万人民币的入场限制,但是受到这个条件限制的投资者资金所占份额可以忽略不计。
- (1)根据上海证券交易所统计年鉴,2007年至2015年间,A股交易量中自然人投资者交易量占比超过80%。
- (2)根据港交所发布的现货市场交易研究调查数据,2011年至2015年港股交易量中海内外机构投资者的交易量占比约60%,个人投资者交易量占比仅仅约30%。
- (1)借鉴Hamao et al.(1990)的做法,我们直接剔除掉不同步交易日的数据。