交叉上市股票价格发现及贡献差异的横截面分析

本文在非线性协整理论的基础上重新推导了Hasbrouck(1995)的信息份额模型,以A+H股上市公司为研究对象计算了每家样本公司A股与H股的信息份额,并对交叉上市股票价格发现能力的横截面特征和影响因素进行了实证研究。发现:(1)虽然交叉上市公司A、H股价格存在差异,但是两者的变动存在线性或非线性的协整关系且互为调整,平均来看A股比H股更具价格发现功能;(2)交叉上市公司间股票价格发现贡献存在较大差异;(3)流动性、市场稳定性及信息不对称对公司A、H股价格发现能力存在重要影响。

Cross-sectional Research on the Contributions to the Price Discovery Process of the Cross-listings

Based on the nonlinear co-integration theory,were deduce the information share model proposed by Hasbrouck(1995) again,and capitalize it on measure the information share of A share market and H share market on the price discovery process.And then we analyze the cross-sectional characteristics of the companies.price discovery ability and their influencing factors.Empirical tests show that(1) prices of A share and H share stocks are different from each other,but they are nonlinear or nonlinear co2integrated and mutually adjusting.Averagely,A share market makes more contributions to the price discovery; (2) stocks.contributions to the price discovery among the companies are different;(3) liquidity,stability of market,and the information asymmetries to various extends affect the A and H stocks.contmbutions to the price discovery.