摘要
本文以"沪港通"下的A+H交叉上市公司为研究对象,运用高频数据对股票价格发现能力以及股票收益率与股票市场之间的联动性进行分析。研究结果显示:A股与H股股票价格走势存在差异,对于大部分上市公司而言,两者之间在"沪港通"开通前后一年的研究区间内不存在均衡关系;A股与H股股票收益率均受到上海和香港证券市场的影响,但A股价格受到两个证券市场影响的差异不大,H股价格受到香港证券市场的影响远远强于上海证券市场。
Taking A＋H cross listed companies as the research objects under ＂Shanghai-Hang Kong Stock Connect ＂, the paper uses high frequency data to analyze the stock price discovery ability and the linkage between stock return rate and stock market. Research results show that： movements of A-share and H-share price in are different, for most of the listed companies, there is no long-term relationship between A-share price and H-share price the year before and after the reform; stock returns of A-share and H-share are affected by the Shanghai and Hongkong stock market, but the effect difference in A-share price is little, while the H-share price affected by the Hongkong stock market is far stronger than the Shanghai stock market.
出处
《商业研究》
CSSCI
北大核心
2016年第11期41-46,共6页
Commercial Research
基金
中央财经大学研究生科研创新基金资助项目
项目编号:201529
关键词
沪港通
交叉上市
价格发现
联动性
Shanghai-Hong Kong Stock Connect
cross-listed
price discovery
co-movement
