中國雙軌發行股票之價差研究—以A 股與B 股、H 股及ADR 為例

Abstract

Price differentials are not only hot issues in previous researches but important factors controlled by administrations to stabilize the economic fluctuation. This thesis aims to find the factors affected the price differentials between A shares and other three listing stocks. We use three comparions to examine the effect; they are A shares with dual-listed B shares in China Shanghai and Shenzhen stock market, A shares in China stock market and dual-listed H shares in Hong Kong, A shares in China and dual-listed ADRs in America stock market. We use the market efficiency, market fluctuation, information asymmetry, investors’ risk acceptance, expected growth returns, enterprises’invisible asset and shareholding system as variables and adopt multiple regressions and panel data regressions to analyze the relation between price differentials during 1993 to 2006. By comparing A shares with all the other three stocks, we reach three consistent conclusion as follows. First, when the transaction cost of A shares is higher than the dual-listed shares’, the price differentials between them are higher. Second, when the liquidity of A shares is higher than the liquidity of dual-listed shares, the price differentials between them increase. Third, when the A shares’ price-earnings ratios are low, book-market ratios or dividend yields are high, the price differentials between A shares and dual-listed shares are low. However, we also find three inconsistent relations between A shares and the others. First, the price differentials between large enterprises’A shares and dual-listed H shares, dual-listed ADRs, respectively, are lower than small companies. Second, after executing the 10% price limits law, the price differentials between Shanghai and Shenzhen A shares and dual-listed B shares are lower than before, but the other two groups are in opposite situation. Third, when government owns more shares of an enterprise, the price differentials between A shares and dual-listed ADRs are lower. We hope that this research can give some investment thoughts to the investors attracted by hot China market, supply some different opinions for enterprises going to list and offer some information for policymakers of security market.