| 开盘对隔夜信息的揭示效率——基于A股和H股的实证研究 |
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| 引用本文： | 王春峰,张颖洁,房振明.开盘对隔夜信息的揭示效率——基于A股和H股的实证研究[J].北京理工大学学报(社会科学版),2011,0(2):43-48. |
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| 作者姓名： | 王春峰 张颖洁 房振明 |
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| 作者单位： | 1.天津大学 管理与经济学部，天津 300072 |
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| 基金项目： | 国家自然科学基金资助项目(70771076) |
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| 摘 要： | 以A+H股上市公司为样本，运用加权价格贡献法比较了A股和H股开盘阶段对隔夜信息的揭示效率。研究结果发现，无论是A股还是H股，公司规模越大，开盘阶段的信息揭示效率越高；两市场开放度、成熟度、市场结构和交易机制的区别导致H股开盘阶段的信息揭示效率高于A股。
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| 关 键 词： | 开盘集合竞价 隔夜信息 信息揭示 A+H股 |
| 收稿时间： | 2010/5/31 0:00:00 |
Information Revelation Efficiency of Opening Period: An Empirical Study Based on A&H shares |
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| WANG Chunfeng,ZHANG Yingjie and FANG Zhenming.Information Revelation Efficiency of Opening Period: An Empirical Study Based on A&H shares[J].Journal of Beijing Institute of Technology(Social Sciences Edition),2011,0(2):43-48. |
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| Authors: | WANG Chunfeng ZHANG Yingjie and FANG Zhenming |
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| Institution: | 1.School of Management， Tianjin University， Tianjin 3000722.School of Management， Tianjin University， Tianjin 300073 |
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| Abstract: | Based on the data of A&H cross-listing firms,this paper compared the efficiency of opening period to reveal overnight information for A shares and H shares using the method of weighted prices contribution.It was found that for both A and H shares,the bigger the company was,the more efficient the opening period was in information revelation.Moreover,opening period was more information efficient for H shares than A shares due to the difference between two markets in market maturity,opening degree,market struc... |
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| Keywords: | opening call auction overnight information information revelation A&H shares |
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