摘要
同一个公司的股票,如果在不同的市场上交易,其价格发现效率可能存在差异.采用共同因子贡献法和信息份额方法对同时在我国A股和B股市场交易的股票的价格发现效率进行了研究.实证结果表明,在B股对境内投资者开放之前,A股与B股市场存在严重的"市场分割"现象;在B股对境内投资者开放后,这种"市场分割"程度有所减弱.在B股市场开放前,共同因子贡献法的结果认为上交所和深交所均为A股信息主导的,同时,信息份额法也得到了相似的结论.在B股市场开放后,共同因子贡献法得到的结果为上交所的股票69.52%的信息是由A股市场揭示的,深交所则为70.29%;信息份额法得到的结论则分别为64.81%和62.47%.对于A股(B股)对价格发现的贡献的动态变化,两者的结论也一致:共同因子贡献法和信息份额法均认为:B股市场开放后,A股市场的共同因子权重和A股市场的信息份额均有所减少.
If securities issued by the same company are traded in various markets, the price discovery efficiency of these markets may be different. In this paper, the common factor contribution methodology, proposed by Gonzalo and Granger （1995）, and information share model propesed by Hasbrouck （1995） are adopted to analyze the contribution of A and B shares to the price discovery, respectively. The empirical evidence indicates that before the B-share market is opened to domestic investors, the two markets are seriously selgnented. After the B-share market is opened to domestic investors, the degree to which these two markets are segmented decreases. Before the openness of B-share market, according to common factor contribution methodology, A-share market contriboutes mere to the price discovery in both SSE and SZE. And we find the similar results through the informtion share model. After the openness of B- share market, both methodologies find that A-share market is still in informational dominance. Furthermore, both common factor contribution methodology and information share model obtain the same conclusion about dynamic variation of the contribution of A-share （ B- share） to the price discovery： the common factor weight and information share attributed to A-share market decrease with the openness of B-share market.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2008年第8期44-54,80,共12页
Systems Engineering-Theory & Practice
基金
教育部优秀青年教师资助计划项目(教人司[2003]355号)
电子科技大学中青年学术带头人+创新团队支持计划
电子科技大学青年基金项目
关键词
A、B股市场
市场分割
价格发现
共同因子
信息份额
A and B shares markets
market segmentation
price discovery
common factor
information share
