多重上市波动机制突变的研究——来自中国A、H股证券市场的证据

以ICSS方法为基础．实证检验了多重上市的波动机制突变。结果表明；中国H股市场的波动率要高于相应的A股市场的波动率，A股和H股证券市场的波动机制突变的日期具有明显差异，A股和H股证券市场是信息分割的。在此基础上进一步得到上市公司发布公告是A股市场波动机制突变的影响因素，给出了A股和H股市场发展的政策建议；完善的信息披露机制将会降低A股和H股市场分割的程度，并能提高上市公司跨市场融资的效率。

Research on Volatility Regimes Switching of Cross-listing——the Evidence From A and H Share Market of China

Based on the ICSS method, the date of volatility regimes switching is tested for cross-listing stocks. The results show that volatility of Chinese H-Share market is higher than that of the corresponding A-share market and the date of volatility regimes switching for the A - share and H-share market is obviously different. On the basis of information segmentation we find that listed company issuing notice is the influencing factor for volatility regimes switching of A-share market. Perfect information disclosure mechanism will decrease A-share and H-share market segmentation of the listed companies and improve the efficiency of inter-market financing.