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文章以A、B股双重上市公司的股票为研究对象,用面板数据检验信息不对称假说、风险差异假说、流动性假说和需求差异假说等市场分割理论对A、B股的价格差异进行解释,发现流动性假说和信息不对称假说对A、B股价差具有一致、显著的解释力。然后以B股对内开放为截点把数据分为两个样本,运用协整检验法和Granger因果检验分析法对双重上市公司A、B股之间的长期均衡关系和短期引致关系进行检验,结果表明随着B股的对内开放,绝大部分双重上市公司发行的A、B股之间建立了新的协整关系,双重上市公司发行的A股对B股的信息导向作用大于B股对A股的信息导向作用。
The paper takes the stocks of A and B shares of double listed companies as the research object, and uses the panel data to test the price difference of A and B shares by using the market segmentation theory such as information asymmetry hypothesis, risk difference hypothesis, liquidity hypothesis and demand difference hypothesis, It is found that liquidity hypothesis and information asymmetry hypothesis have consistent and significant explanatory power to A and B shares spread. Then the paper divides the data into two samples with the inter-opening of B-share as a cut-off point. By using cointegration test and Granger causality test to test the long-term equilibrium relationship and short-term relationship between the two listed companies A and B shares, The result shows that with the opening of B shares, the new cointegration relationship has been established between the A and B shares issued by most of the dual listed companies. The A shares issued by the dual listed companies have more informational guidance on the B shares than B shares A-share information-oriented role.