中國A股與香港H股相對溢價之研究

Abstract

中國與香港股票市場因不同的投資環境、投資人結構以及無法自由轉換，造成同一家公司雙邊掛牌的A股和H股價格差異，並且普遍呈現A股價格高於H股價格，因此本文旨在分析55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股價的溢價關係 藉由財務管理和個體經濟等理論，探討出幾個A股溢價的主要因素。而實證結果顯示，需求彈性差異、市場流動性、資訊不對稱、風險偏好、人民幣升值預期因素、市場效果中的滬深300指數等可以解釋A股溢價的原因，另外市場效果中的H股市場則呈現不顯著，而無風險利率則與預期不一致。

Due to differences of market characteristics in terms of market condition, investor structure and inconvertibility between A shares and H shares, prices on A shares and H shares representing the same company are different. Normally A shares are higher than H shares. This study discusses about the price premiums of Chinese A shares relative to Hong Kong H shares among 55 dual-listed firms. By using theory of financial management and microeconomics, we find out the several influential determinants of A shares premiums. Our empirical results show that A shares premiums can be explained by elasticity of demand, market liquidity, asymmetric information, risk appetite, RMB appreciation expected, and one variable of CSI 300 from market effect. While the other variable of H shares index from market effect is not significantly relative to A shares premiums. And only one variable, risk-free rate is not consistent with our expectation.