| A股与H股市场价格发现及影响因子的实证研究 |
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| 引用本文： | 陈学胜,覃家琦.A股与H股市场价格发现及影响因子的实证研究[J].大连理工大学学报(社会科学版),2012,33(2):54-59. |
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| 作者姓名： | 陈学胜 覃家琦 |
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| 作者单位： | 1. 山东大学威海分校商学院,山东威海,264209
2. 南开大学商学院,天津,300071 |
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| 基金项目： | 国家自然科学基金青年项目 |
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| 摘 要： | 文章利用Hasbrouck的信息份额模型对同时在A股市场和H股市场交叉上市的公司A股、H股的信息份额进行计算,结果表明,平均来看A股市场价格发现的贡献要高于H股市场,但H股市场也发挥了重要作用.随后选取了一系列市场指标进行了因子分析和得分计算,并与H股的信息份额进行了回归分析,发现信息不对称差异、流动性差异及投机性差异都不同程度地影响了公司H股的价格发现能力.
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| 关 键 词： | 信息传递 信息份额 价格发现 因子分析 |
Empirical Study of the Price Discovery and the Influence Factors of A and H Stock Market |
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| CHEN Xue-Sheng
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QIN Jia-Qi.Empirical Study of the Price Discovery and the Influence Factors of A and H Stock Market[J].Journal of Dalian University of Technology(Social Sciences),2012,33(2):54-59. |
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| Authors: | CHEN Xue-Sheng QIN Jia-Qi |
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| Institution: | 1.Business School,Shan Dong University at Weihai,Weihai 264209,China; 2.Business School,Nankai University,Tianjin 300071,China |
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| Abstract: | In this paper,the contributions of A share market and H share market were measured using the information share model proposed by Hasbrouck.Results show that averagely A share market makes more contributions to the price discovery,but the contributions of H share market are also significant.We choose some stock market indexed and analyze them by factor analysis,factor score computation and its regression analysis to H share’s information share.Empirical tests show that differences of information asymmetries,liquidity and market speculation are the determinants that affect H stocks’ contributions to the price discovery. |
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| Keywords: | information transmission information share price discovery factor analysis |
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