市場區隔與股票異市報酬之研究－中國大陸A、B股市場

The Effect of Market Segmentation on Stock Markets-Evidence from Chinese A and B Shares

10.6545/JoFS.2001.9(2).2

葉銀華(Yin-Hua Yeh)；陳韋均(Wei-Chun Chen)

市場區隔 ； 資產定價 ； 事件研究 ； 中國大陸股市 ； market segmentation ； asset pricing ； event study ； China stock markets

中國財務學刊

9卷2期（2001 / 08 / 31）

39 - 65

繁體中文

本文旨在探討中國大陸B股掛牌事件（A股掛牌事件）對同一公司已上市A股（B股）報酬的影響，我們提出市場區隔的訊息內涵假說推論B股掛牌事件可傳輸正面與增量資訊給其A股投資者（中國大陸居民），因而產生正的異常報酬；然而A股掛牌事件可傳輸給其B股投資者（境外居民與機構）的資訊是有限的，因此對B股報酬的影響並不明顯。本文嚴謹使用事件研究法，以提撥股權認購日為事件日，並且發現B股掛牌事件會影響其A股投資者要求的報酬率，因此採用事件窗口期之後的資料為估計期來計算異常報酬。實證結果現B股掛牌事件在認購日之前即對A股產生正的異常報酬，而在認購日之後與爾後的上市日即未有顯著的影響；而A股掛牌事件不管在認購日或上市日大都未有顯著異常報酬；上述的結果支持本文所提出的訊息內涵假說。再者，本文應用Merton（1987）的投資者認知假說與Amihud和Mendelson（1986）的流動性假說來解釋B股掛牌事件的影響，結果發現A股相對市值變動額與A股流通股權比率可以解釋A股的異常報酬。

The primary focus of this study is to investigate the effect of the listing event of B-share (A-share) on their A-share (B-share) returns. We propose the information content of market segmentation in predicating the listing event of B-share can convey a good and incremental information to their A-share investors (domestic- residents), and will induce the positive abnormal returns of A-share. On the contrary, the listing event of A-share can not reveal the same incremental information to their B-share investors (foreign investors), it is therefore the effect of this event on B-share returns are insignificant. We strictly use the event study methodology by defining the prospectus day as the event day and utilizing the post-event data to generate the benchmark returns. The empirical results found that the listing event of B-share has a positive influence upon their A-share returns before the prospectus day of B-share, and .the effect of the listing event of A-share on their B-share returns are seldom significant. These findings corroborate with the dictum of information content hypothesis proposed by this study. Furthermore, we found that the change in relative market value of A-share and the outstanding ownership of A-share can demonstrate the effect of listing event of B shares, and support the investor recognition hypothesis proposed by Merton (1987) and liquidity hypothesis proposed by Amihud and Mendelson (1986) to explain the effect of listing event of B-share on their Ashare returns.

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