中國大陸開放境內人民投資B股對市場區隔與價格差異之影響

Abstract

本文研究大陸市場因為對外國股權的限制而造成市場區隔的現象，在2001年2月19日大陸開放本國投資者投資B股，使得原本嚴格區隔的市場變成部分市場區隔，對於此一政策宣布所造成的市場機制轉變的影響，分成兩個角度來探討。 首先研究在A、B股之間是否存在均衡的關係，所得到的實證結論為開放前A、B股之間不存在共整關係，然開放後兩股市之間的資訊傳遞變的頻繁，兩者具有長期均衡的關係。再者，針對A股相對B股的溢價現象，提出六個理論假說以及較完整的解釋變數，來探求中國大陸A股與B股價格差異的理論因素。實證推論在開放前的上海以及深圳股市，較具一致性的是流動性風險假說；而開放後在上海股市主要的理論因素仍是流動性風險假說，深圳股市則是不同風險假說。 實證的結果顯示出開放政策使得A、B股之間的關係更緊密，A股溢價的現象趨於緩和，但仍存在A股溢價的主要原因乃在於A、B股之間流動性的差異以及大陸人民的較高的風險愛好。

Abstract This purpose of this paper is to study the effect of market segmentation in the Chinese stock market due to foreign ownership restrictions. On the 19th February 2001, it was officially confirmed that domestic investors would be allowed to trade in B shares. Thus, the markets were reshuffled from strict segmentation to partial segmentation. First of all, we investigate whether if a long-term equilibrium exists between A and B shares. Empirical results indicate that before the policy change, there is no cointegration between A and B shares. But after the policy change, the information diffusion between these two stock markets become more frequently. Then, in order to find the source of the price differences between these two classes of shares, we consider six hypotheses that may explain the price differences. Each hypothesis is characterized by its empirical implications. Our main conclusion is that before the policy change, relatively illiquid B share stocks have a higher expected return and are priced lower to compensate investors for increased trading costs. After the policy change, the relatively illiquid B share stocks in the Shanghai stock exchange and the different risk hypothesis in the Shenzhen stock exchange are the primary theoretical factors. Our results indicate that it has been a success of the Chinese government to lift restrictions. We find that after the policy change, the relationship between A shares and B shares become more close;the A share price premium has both decreased, and become stationary. From the cross-sectional analysis, we find that illiquid trading of B shares, and the highly risk tolerant of Chinese investors are significant determinants in explaining the price premium on A shares.