「滬港通」前後，A股與H股折溢價分析

A Study on the Price Spread between A and H Shares after ＂Shanghai-Hong Kong Stock Connect＂

朱浩民(Hau-Min Chu)；譚智中(Chih-Chung Tan)

Shanghai-Hong Kong Stock Connect ； A shares ； H shares ； Price Premium

兩岸金融季刊

4卷4期（2016 / 12 / 01）

27 - 46

繁體中文

本文以2013 年1 月1 日至2016 年6 月30 日之資料，探討「滬港通」開放前後，上海和香港兩地A+H 股價差的折溢價情況；同時以共整合和Granger 領先落後檢定，探討兩地股市的長期關係。實證結果顯示，「滬港通」開通之後，上海證交所的A 股股價相對香港聯交所的H 股價之價差反而擴大；此外，共整合和Granger 領先落後檢定結果顯示，在「滬港通」開放且人民幣匯改後，上海A 股指數和香港H 股指數之共整合現象相當顯著；同時A 股和H 股指數都互相領先對方，而且H 股對A 股的影響強度明顯大於A 股對H 股的影響。

This paper explores the price spread between A and H shares after ＂Shanghai-Hong Kong Stock Connect＂, and applies Cointegration and Granger causality tests to examine the long-term relationship between Shanghai and Hong Kong markets. The empirical results show that after the ＂Connect＂, the premium of A shares compared to H shares has widened. In addition, Cointegration and Granger causality tests reveal that, after the ＂Connect＂ and RMB exchange rate reform, the co-movement between Shanghai A shares index and Hong Kong H shares index has become stronger, and A shares index leads H shares index and vice versa. While H shares index also has significant influence on A shares index.

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