股权分置改革对AH股市场信息传导与联动性影响

本文以A＋H股双重上市公司为研究视角,分别从指数和个股层面,使用格兰杰因果检验和向量误差修正模型,对比分析了2008年股改完成前、后两个阶段,A股H股价格差异的均衡关系、在价格形成中A股价格和H股价格的信息传导关系的变化。研究结果显示,股权分置改革对两个市场的分割程度产生影响,股改后AH股价格互动性增强,但H股在信息传导和价格引领方面始终占据主导地位。

The Influence of the Split Share Structure Reform on AH Share Market Information Transmission and Correlativity

Based on the dual listed companies, from the index and individual stock level respectively, using Granger Causality Test and Vector Error Correction Model, this article makes a comparative analysis of the changes in A share and H share equilibrium relations of price diversity and the information transmission relations of A share price and H share price in price formation before and after the share reform in 2008. The results show that the share reform has affected the two markets’segmentation degree. After the share reform, AH share price＇s interactivity has increased, while H share occupies a dominant position in information transmission and price leading.