The Impact of the Two-Stage Ownership Segmentation Reform of the A-share Market on A- B- and H-shares and the Hang Seng Index

兩階段股改對A, B, H及恆生股價指數之影響

10.29468/PMR.201009.0391

方豪(Hao Fang)；李彥賢(Yen-Hsien Lee)；詹旭斌(Hsu-Pin Chan)

China ； Ownership Segmentation Reforms ； VAR-GJR-GARCH ； Hang Seng Index

物業管理學會論文集

4屆（2010 / 09 / 24）

391 - 406

英文

This paper analyzes whether the two-stages of ownership segmentation reform of the A-share market in recent years has simultaneously benefited the A and B shares in the Shanghai and Shenzhen stock markets and the H shares and component shares of the Hang Seng index, or some or only one at the expense of others, since the increase in the interaction between the mainland stock markets and the Hong Kong stock market. Our results indicate that, following the second stage of the reform, the correlations between any two markets among the A shares and B shares in the Shenzhen stock market, and H shares and Hang Seng stock markets significantly increase, which is consistent with the results of Sun et al. (2009) and Wang et al. (2007). Moreover, after the reform, in terms of price discovery, the impact of the Shanghai A-share market is greater than that of the B-share market, while the impact of the Shenzhen A-share market is smaller than that of the B-share market. In addition, the price reversion of the Shenzhen A-share market may promote the price reversion of the H-share and Hang Seng stock markets. This paper will be helpful in providing the CSRC with a review of the effect of the ownership segmentation reform of the A Shares.