沪港通背景下AH股溢价率影响因素研究

Abstract

本文以2012~2016年为研究期间，选择A + H交叉上市公司为研究样本，分别对沪港通开通前后样本公司A + H股价差进行研究。主要从流动性差异、需求差异、投资者结构差异、融资成本差异，汇率、市场行情、行业因素等方面对A股H股溢价率进行分析，研究结果表明，沪港通的开通并没有降低A股H股溢价率，反而拉大了A股H股价差。在溢价率的影响因素中，市场流动性的影响显著为正；需求弹性、融资成本、汇率的影响显著为负；股市行情越好，股价越高，金融行业的溢价率明显低于非金融行业；最后，针对缩小A股H股价格差异和加速市场融合，提出了若干政策性建议。 This paper takes A + H cross-listed companies as research samples during the period from 2012 to 2016, and studies the spread of A + H shares of sample companies before and after the establishment of Shanghai-Hong Kong Stock Connect. The analysis of the premium rate of H shares of A shares based on liquidity differences, demand differences, investor structure differences, financing cost differences, exchange rates, market conditions and industry factors. The results show that the opening of Shanghai-Hong Kong Stock Connect has not reduced the premium of H shares of A shares but instead widened the spread of H shares of A shares. Among the factors affecting the premium rate, the effect of market liquidity is significantly positive, the impact of the demand elasticity, financing cost and exchange rate is significantly negative. And the research shows that the premium rate of the financial industry is significantly lower than the non-financial industry. Finally, in view of narrowing the price difference of A shares and accelerating the market integration, this article put forward a number of policy recommendations.