A股與H股相對折溢價之研究─兼論港股直通車與金融海嘯對折溢價之影響

Abstract

本文旨在分析54家同時在中國A股市場與香港H股市場上市的中國公司，其A股價格相對於H股價格的折溢價關係，並且探討港股直通車和金融海嘯對折溢價的影響。本篇研究除了驗證解釋市場區隔下價格差異的需求差異假說、風險差異假說、資訊不對稱假說及流動性假說外，有兩項不同於過去相關文獻之處。第一，本文採用事件研究法來分析各項解釋變數在港股直通車和金融海嘯前後的解釋能力是否有顯著的改變；第二，本文加入兩項反映公司財務指標的變數：EPS和Tobin’s Q 來探討經營績效對折溢價變動的影響。 實證結果發現在宣佈港股直通車和金融海嘯期間，複迴歸模型均可解釋至少57%的價格差異。同時，EPS對A股相對於H股的溢價關係具有顯著的反向影響，此與預期的結果相符。另外，A股的Beta值及EPS對於價格差異的解釋能力分別在港股直通車和金融海嘯發生前後產生顯著的改變。

This study discusses about the price premiums of Chinese A shares relative to H shares among 54 dual-listed firms, and also finds out the impacts of Through Train Plan and Financial Tsunami. Except for the verification of four primary hypotheses on explaining price differences in segmented markets, there are two distinct parts in this paper. One is that I adopt event study method to examine whether there is any change of the explanatory power on each independent variable before and after two events. Another is that I incorporate two additional factors, EPS and TQ, to capture the effect of financial performance on price differences. The empirical results report that with various explanatory variables related to four primary hypotheses, the multiple linear regression can explain at least 57 percent of cross-sectional price discrepancies, and EPS shows a significant and negative coefficient, which is consistent with conjecture. Besides, A shares stock beta with respect to the Shanghai Stock Index has a significant change before and after the Through Train Plan, while during the Financial Tsunami, the explanatory power of EPS reports a significant change before and after the event.