双重上市股票的价格信息传递——基于内地香港双重上市股票的实证分析被引量：7

Price-Sensitive Information Dissemination of Co-listed Stocks

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摘要本文选取2003年到2007年4月的内地、香港双重上市股票为样本,运用似不相关(SUR)方法实证考察两个市场之间的价格信息传递情况。研究发现:个股日内收益受A股市场大盘影响比同一只股票在香港市场受恒生指数的影响要大;股票价格信息主要由内地流向香港;A股的日内收益显著影响了同一天香港的日内收益,而A股的日内收益对香港隔夜收益的影响相对较弱。 The paper uses the method of seemingly unrelated regression for an empirical study of pricesensitive information dissemination regarding stocks colisted in China's Mainland and HK, based on their stock prices during 2003-2007. The study reveals that intraday return of a stock is influenced more obviously by A share market than Hang Seng Index, affected mainly by information dissemination from mainland to HK. Intraday return of A-shares imposes a remarkable influence on that in HK, but relatively weak on overnight return in HK.

作者王烜李小晓

机构地区广发证券博士后工作站湖南大学工商管理学院

出处《证券市场导报》 CSSCI 北大核心 2007年第10期18-22,共5页 Securities Market Herald

关键词信息传递双重上市股价信息 information dissemination, co-listing, pricesensitive information

分类号 F830.9 [经济管理—金融学]

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参考文献8

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