摘要
本文探究了资本账户开放对AH股溢价的影响,结合资产定价模型和价格歧视模型揭示了四大假说对AH股溢价的影响机制,发现资本自由流动可以减小这些假说带来的差别,从而影响AH股溢价。选取沪港通开通前后各97个交易日的AH股相关数据,运用基本的面板模型分析沪港通开通对AH股溢价的影响。结果发现:在剔除了市场情绪的影响后,沪港通的开通显著减小了AH股溢价,在采用倾向评分匹配(PSM)方法和面板双重差分模型后,发现结论依然稳健,且发现短期内影响效果要大于长期。
This paper reveals the impact of capital account openness on AH premium,which could be explained by Asset Pricing Model and Price Discrimination Model. AH premium could be influenced through less capital flow restriction for reducing those differences above. All the AH shares across 97 trading days before and after Shanghai-Hong Kong Stock Connect is used. The result shows that： The AH premium narrows down after Shanghai-Hong Kong Stock Connect if the market sentiment is controlled. PSM method and the DID model prove the same conclusion and find short term effect is greater than the long term effect.
出处
《中国软科学》
CSSCI
CSCD
北大核心
2017年第11期39-53,共15页
China Soft Science
基金
教育部哲学社会科学研究重大课题攻关项目"中国资本账户开放进程安排和风险防范研究"(14JZD016)
中央财经大学重大科研课题培育项目(基础理论类
项目号14ZZD004)
中央财经大学青年科研创新团队支持计划资助
中央高校基本科研业务费专项资金
关键词
AH股溢价
沪港通
资本账户开放
双重差分模型
AH premium
Shanghai-Hong Kong stock connect
capital account openness
difference in differences model
