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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 林建甫(Chien-Fu Lin) | |
| dc.contributor.author | Jui-Chi Kang | en |
| dc.contributor.author | 康瑞淇 | zh_TW |
| dc.date.accessioned | 2021-06-17T00:24:13Z | - |
| dc.date.available | 2015-05-16 | |
| dc.date.copyright | 2012-05-16 | |
| dc.date.issued | 2012 | |
| dc.date.submitted | 2012-05-14 | |
| dc.identifier.citation | 李大傳、朱志軍、陳金賢（2004），「H股相對A股的折讓研究」，中國軟科學，2004年第1期，P37-42
陳國芬（2005），「大陸A股與香港H股溢折價關係之實證研究」，國立東華大學國際經濟研究所碩士論文 陳慧君（2008），「中國A股與香港H股是整合或是區隔？結構改變共整合模型的應用」，國立東華大學國際經濟研究所碩士論文 袁敏真（2008），「中國大陸A股與H股價差之研究」，國立政治大學金融研究所項士論文 劉昕（2006），「中國股票市場分割及其消除A股、H股雙重上市公司實證研究」，上海財經大學出版社 劉挺（2008），「中國雙重上市A、H股價格差異的實證研究」，中國人民銀行金融研究所碩士論文 韓德宗（2006），「A股和H股市場軟分割因素研究」，商業經濟與管理，2006年第3期，P42-46 Bailey, W. (1994),”Risk and return on china's new stock markets: some preliminary evidence”, Pacific-Basin Finance Journal, 2, 243-260 Bailey, W., P, and J. Kang (1999)”Foreign Ownership Restrictions and equity price premiums: What drives the demand for cross-border investments? “, Journal of Financial and Quantitative Analysis, 34, 489-511 Chen, G. M., B. S. Lee and O. Rui (2001),”Foreign Ownership Restrictions and Market Segmentation in China's Market” Journal of Financial Research, 24, 133-155 Chen, Y. and Y. Su (1998),”An examination into market segmentation in the Chinese stock market”, Adv. Pac Basin Finance Market, 4, 49-70 Chakravarty, S., A. Sarkar and L. Wu (1998), “Information asymmetry, market segmentation and pricing cross-listed share: Theory and evidence from Chinese A and B shares”, Journal of International Financial Markets, Institutions and Money, 8, 325-355 Domowitz, L., J. Glen, and A. Madhavan (1997),”Market Segmentation and Stock Prices: Evidence from an Emerging Market“, Journal of Finance, 52, 1059-1085 Fong T., Wong A. and Yong I. (2007),”Share Price Disparity in Chinese Stock Markets”, HKMA Working Paper, 11 Fernald, J. and J. H. Rogersv (1998),”Puzzles in the Chinese stock market”, International Finance Discussion Board of Governors of the Federal Reserve System, 169 Hietala, P. T., (1989),”Asset pricing in partially segmented markets: Evidence from the Finish market” , Journal of Finance, 44, 697-718 Ma, X. (1996),”Capital controls, market segmentation and stock prices: Evidence from the Chinese stock market”, Pacific-Basin Finance Journal, 4, 219-239 Sun, Q. and W. H. S. Tomg (2000)”The effect of market segmentation on stock prices: The China syndrome”, Journal of Banking & Finance, 12, 1875-1902 Wang, S. S. and L. Jiang (2004),”Location of trade, ownership restrictions and market illiquidity: Examining Chinese A- and H-shares”, Journal of Banking and Finance, 28, 1273-1297 Stulz, R. M. and W. Wasserfallen (1995),”Foreign equity Investment restrictions, capital flight, and shareholder wealth maximization: Theory and evidence “, Review of Financial Studies, 8, 1019-1057 Zhang, Y. and R. Zhao (2004),”The valuation differential between Class A and B shares: Country risk in the Chinese stock market”, Journal of International Financial Management and Accounting, 1, 44-59 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/66167 | - |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-17T00:24:13Z (GMT). No. of bitstreams: 1 ntu-101-P98323023-1.pdf: 659194 bytes, checksum: ee7acf207755dd3357ba533abe0c0da1 (MD5) Previous issue date: 2012 | en |
| dc.description.tableofcontents | 口試委員會審定書………………………………………………………………………… i
中文摘要………………………………………………………………………………………… ii 英文摘要…………………………………………………………………………………… iii 第一章 緒論………………………………………………………………………………… 1 1.1 研究背景……………………………………………………………………………… 1 1.2 研究目的……………………………………………………………………………… 2 1.3 研究架構……………………………………………………………………………… 2 1.4 中國大陸證券市場概況………………………………………………… 3 1.5 香港證券市場概況…………………………………………………………… 4 第二章 參考文獻………………………………………………………………………… 6 2.1 市場分割、外資股溢價概述…………………………………………… 6 2.2 A、B股市場分割的相關研究…………………………………………… 7 2.3 A、H股市場分割的相關研究…………………………………………… 9 第三章 A、H股價格差異理論分析…………………………………………… 12 3.1 A、H股市場分割基本情況………………………………………… 12 3.2 影響因素理論分析……………………………………………………… 13 3.3 實證變數選取………………………………………………………………… 16 3.4 實證模型設定………………………………………………………………… 20 第四章 實證結果…………………………………………………………………………… 21 4.1 樣本時間選取……………………………………………………………………… 21 4.2 樣本股數選取………………………………………………………………………… 22 4.3 敘述性統計……………………………………………………………………………… 23 4.4 實證結果………………………………………………………………………………… 25 第五章 結論與投資建議………………………………………………………………… 28 5.1 結論…………………………………………………………………………………………… 28 5.2 投資建議…………………………………………………………………………………… 29 參考文獻………………………………………………………………………………………… 32 附錄………………………………………………………………………………………………… 34 | |
| dc.language.iso | zh-TW | |
| dc.subject | 雙重上市 | zh_TW |
| dc.subject | A股 | zh_TW |
| dc.subject | H股 | zh_TW |
| dc.subject | 溢價率 | zh_TW |
| dc.subject | 市場分割 | zh_TW |
| dc.subject | H shares | en |
| dc.subject | Dual listing | en |
| dc.subject | Market Segmentation | en |
| dc.subject | Premiums | en |
| dc.subject | A shares | en |
| dc.title | 中國A股與香港H股相對溢價之研究 | zh_TW |
| dc.title | The Determinants of the Premium of China A Shares Relative to Hong Kong H Shares | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 100-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 高櫻芬,郭平欣,林金龍,李沃牆 | |
| dc.subject.keyword | A股,H股,溢價率,市場分割,雙重上市, | zh_TW |
| dc.subject.keyword | A shares,H shares,Premiums,Market Segmentation,Dual listing, | en |
| dc.relation.page | 37 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2012-05-14 | |
| dc.contributor.author-college | 社會科學院 | zh_TW |
| dc.contributor.author-dept | 經濟學研究所 | zh_TW |
| 顯示於系所單位： | 經濟學系 | |
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