中國大陸A股與B股雙重掛牌公司股價互動與價差原因之研究：B股開放政策前後的比較

Stock Price Interaction and Price Differential between Dually-Listed A-and B-Shares in China's Stock Market: A Comparison Before and After the B-Share's Opening Policy

10.6545/JFS.2009.17(2).5

陳建福(Chien-Fu Chen)；劉世偉(Shih-Wei Liu)

中國大陸股票市場 ； 市場區隔 ； 共整合 ； Granger因果關係 ； China's stock markets ； Market segmentation ； Cointegration ； Granger causality

財務金融學刊

17卷2期（2009 / 06 / 30）

139 - 162

繁體中文

本文利用71家同時發行A、B肢的雙重掛牌公司，探討2001年B股向境內居民開放政策，對中國大陸股票市場效率怯和B股折價比率的影響。本文實t查結呆如下:第一、在B股開放前，太多數雙重扮牌公司A、B股的價格並無共整合關像。第二、B股開放後，太多數雙重掛牌公司A、B股價格均存在共登合關條。第三、Granger因果關你檢定顯示，在B股開放前，外國投資人略有訊息優勢，但B股開放後，則是大陸投資人較具訊息優勢。第四、我們發現「流動性差異假說」及「需求差異假說」，是造成B股折價的主要原因。第五、在B股開放之後，「流動性差異假說」及「需求差異假說」有更顯著的加強效果。

This paper investigates how the efficiency of Chinese stock markets and B-share discounts are affected by the policy of B-share's opening to domestic residents in 2001 for seventy-one A- and B-share dually-listed companies. The empirical results are as follows. First, before the period of the B-share opening to domestic residents, there is no cointegration relationship between A- and B-share prices for most dually-listed stocks Second, after the period of the B-share opening to domestic residents, there is a cointegration relationship between the A-and B-share prices. Third, the results of Granger-causality test show that foreign investors possess slightly information advantage over the Chinese domestic investors before the period of the B-share opening to domestic residents, but the Chinese domestic investors have an information advantage after the B-share's opening to domestic residents. Fourth, we find that discounts in the B-share price are due to liquidity-differential and demand-differential hypotheses. Finally, after the period of the B-share opening to domestic residents, the discounts in the B-share price decline substantially due to the reinforcement of liquidity-differential hypothesis and demand-differentialhy pothesis.

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