臺灣博碩士論文加值系統

In the early period of China’s stock market, transactions of A shares in China were limited to Chinese citizens, while transactions of H shares in Hong Kong were limited to HK citizens, or foreigners from other countries. However, these restrictions have been gradually lifted in recent years, progressively shifting China’s stock market. Thus study adopts the Johansen co-integration test, the Granger causality test, and the panel data model to analyze the collected data from 2005 to 2009, discuss the long- term trends of A and H shares, the interaction between them, and the influence of the price spread factor before and after exercising a qualified domestic institutional investor (QDII) policy. The results represent a more co-integrational relationship between the two segmented stock prices after enforcing the policy, which indicates that the segmentation of the two markets had gradually shrunk. In addition, in the price signaling aspect, the price of A shares exhibited a leading position rather than the price of H shares. On the other hand, information asymmetry, investment demand difference hypothesis, and the liquidity of the stock market, significantly affected the price spread of A and H shares, powerfully explaining the price difference between the two markets.

ABSTRACT IN CHINESE I
ABSTRACT IN ENGLISH II

1. Introduction 1

2. Literature Review 5
2.1. Market Segmentation and Co-movement of Cross-listed Securities 5
2.2. Sources of Price Differences Between A and H Shares 6
2.2.1. Asymmetric Information Hypothesis 6
2.2.2. Differential Demand Hypothesis 7
2.2.3. Liquidity Hypothesis 7
2.2.4. Differential Risk Hypothesis 8
2.2.5. Exchange Rate Effect 8

3. Methodology and Data 11
3.1. Methodology 11
3.1.1. The Unit-Root Test 11
3.1.2. The Co-integration Test 13
3.1.3. Granger Causality Test 14
3.1.4. Panel Data Analysis: Cross-Sectional and Time-Series Evidence of A and H shares. 16
3.2. Data Description 18

4. Empirical Results 21
4.1. Unit Root Test result 21
4.2. Co-integration Test results 22
4.3. Error Correction Method Result 22
4.4. Granger Causality Test results 23
4.5. Panel Data Analysis results 24

5. Summary and Conclusions 27
References 29

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