中國AH股溢折價之研究─兼論金融海嘯之影響

Abstract

本文旨在探討中國、香港兩地上市之AH股溢折價間的關係，第一部分對2008年後，同時於中國香港兩地上市之49家AH股日報酬率進行Granger因果關係檢定，並進一步討論金融海嘯發生對該資訊流的影響，將期間分割為金融海嘯前，金融海嘯期間及金融海嘯後加以實證，結果顯示近半數樣本公司之間存在因果關係，而海嘯前為H股市場主導，海嘯後中國本地市場逐漸取得主導地位。 第二部分：以AH股溢折價指數變動率，探討其資訊衝擊對A股、H股市場相關指數走勢的不對稱影響，結果顯示落後一期的資訊衝擊存在顯著不對稱影響，當前一期產生正向的資訊衝擊，有助於指數上漲，且H股指數漲幅大於A股指數，而前一期產生負向的資訊衝擊，將促使指數下跌，且A股指數跌幅大於H股指數。

This article focuses on the price premium of Chinese A shares relative to Hong Kong H shares. In the first part, we conducted the Granger Causality test for 49 firms which are dual listed on A and H shares markets. The empirical results show that near half of the firms have Granger causality relationships between each others. H shares has information leading role before the Financial Tsunami, however the Chinese A shares market has gradually taker over the information domination after the Financial Tsunami. The second part, we use the information shock from AH Premium Index daily change rate to test the asymmetry effect on A and H shares market indices. We find that the one day lag information shock exhibits significant asymmetry effect. Positive shocks tend to cause the indices to rise, with H shares indices rising more than A shares indices. On the other hand, negative shocks tend to cause A shares indices to fall more than H shares indices.