本研究從股價操縱因素的角度出發，利用股權集中度與盈餘管理等代理變數，探討交叉上市股價之間差異的原因，利用產生溢價所在的股票市場(A股相對H股、TDR相對港股)的股價操縱代理變數，分析溢價的產生在市場本身的限制以外，像是流動性、需求彈性等等，人為操縱的因素是否可以解釋價格差異的原因。
實證結果顯示A股與TDR之溢價不只與市場體制有關，股權集中度與法人散戶交易量等人為操縱因素也是重要的解釋因子，且溢價程度都會隨著時間的進展而降低。

Taking advantage of proxy variable of stock price manipulation like ownership concentration and earning management to examine the price difference between two market. In addition to liquidity or demand elasticity,etc, using manipulate variable of premium market(A-shares compared to H-share,TDR compared to HK-share) to investigate if manipulation can explain stock price difference.
Empricial results show that premium not only concern to market system, but also connect to manipulation factors.The degree of premium will decrease as time progressd.

第1章 緒論 1
1.1 研究背景 1
1.2 研究動機 2
1.3 研究目的 7
1.4 研究貢獻 13
第2章 文獻回顧 14
2.1 市場分割概述 14
2.2 市場分割文獻回顧 14
2.2.1市場分割下股票價格差異文獻回顧 15
2.2.2 中國外資股折價現象研究的文獻回顧 15
2.3 股票折溢價成因 16
2.3.1 流動性因素 16
2.3.2 需求彈性差異 17
2.4 盈餘管理與股價操縱 18
第3章 研究方法 20
3.1 研究架構與假說 20
3.2 變數定義 21
3.2.1 A股與H股 21
3.2.2 TDR與港股 25
3.3 研究方法 27
3.3.1 單根檢定 27
3.3.2 Panel Data 29
3.4 樣本選取與資料來源 32
3.4.1 A股與H股市場 32
3.4.2 TDR與香港母國市場 32
第4章 實證結果 34
4.1 樣本敘述統計與檢定 34
4.2 單根檢定 37
4.3 固定效果與隨機效果模型檢定 39
4.3.1 固定效果與普通最小平方法-F檢定 39
4.3.2 固定效果與隨機效果- Hauseman檢定 39
4.4 Panel Data迴歸分析結果 40
第5章 結論與建議 43
附錄 48

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