摘要
根据Gonzalo和Granger(1995)的永久/暂时模型(Permanent/Transitory)及Hasbrouk(1995)的信息分享模型(Information Share),以同时在A股市场和H股市场交叉上市的公司为研究对象,就A股市场和H股市场的价格发现能力进行了评估。实证结果表明:虽然A股、H股价格存在差异,但是两者的变动存在协整关系且相互进行调整;就价格发现能力来看,A股、H股市场都发挥了重要作用,但是A股市场的贡献要高于H股市场。
In this paper, two well -known common factor models, the permanent -transitory model proposed by Gonzalo and Granger （ 1995 ） and the information share model proposed by Hasbrouck （ 1995 ） are used to measure the contribution of A share market and H share market to the price discovery process. Empirical tests show that prices of A share and H share stocks are different from each other, but they are co - integrated and mutually adjusting. The results of both models show that A share market makes more contributions to the price discovery, but the contributions of H share market are also significant and magnitude.
出处
《软科学》
CSSCI
北大核心
2009年第1期132-137,共6页
Soft Science
关键词
永久/暂时模型
信息分享模型
交叉上市
价格发现
permanent/transitory model
information share model
cross -listing
price discovery
