交叉上市公司跨市套利投资策略实证研究

当资本市场处于分割状态时,交叉上市的同一家上市公司的股票通常存在着同股不同价现象。针对此价差的问题,本研究将探讨若以此价差作为投资策略基础,在不考虑交易成本及市场上无放空限制的情境下,是否可以产生套利机会。实证结果显示利用两股价的价差问题作投资策略,确实可以得到套利利润。

Empirical Research on Cross Market Arbitrage Investment Strategy of Cross-listing Company

While the capital market is in segmentation condition,the same company cross-listed in the stock market may have different price for a unit share.In view of this problem,with the price difference taken as the basis for investment strategy,this paper explores whether arbitrage opportunities can be produced without considering the transaction cost in a market without emptying restriction.The empirical results show that investment strategies using two stock prices can really get arbitrage profits.