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与以往的信息不对称假说、流动性差异假说和需求差异假说不同,本文研究不同市场系统性风险差异对A+H股价差的解释能力。我们证明了两个市场系统性风险的差异,即两个经济体的基本面不同,是A+H股价差的一个重要驱动因素。进而推导出价格差异与经济基本面差异之间的函数关系,并以可观测变量———政府债务收益率作为经济基本面的代表进行间接检验。实证结果显示政府债务收益率第一、二主成分对A+H股价差的解释能力超过63%,考虑到政府债务收益率对经济基本面的代表性,我们可以断定:经济基本面的差异对A+H股价差的解释力度会远高于这一水平。
Unlike the previous information asymmetry hypothesis, liquidity difference hypothesis and demand difference hypothesis, this paper studies the systematic differences in market risk on the A + H share spreads ability to explain. We demonstrate the systematic risk difference between the two markets that the fundamentals of the two economies are different and is an important driver of the A + H share spread. Furthermore, the functional relationship between the price difference and the economic fundamentals difference is deduced, and an indirect test is conducted based on the observable variable --- the government debt rate of return as the representative of the economic fundamentals. The empirical results show that the first and second principal components of the government debt yield more than 63% of the ability to explain the spread of A + H shares. Considering the representation of the government debt yields on the economic fundamentals, we can conclude that the differences in economic fundamentals A + H shares explain the extent of the spread will be far higher than this level.