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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 the shares of the same company are traded in different markets, the price discovery efficiency may be different. The common factor contribution method and information share method were used to evaluate the price discovery efficiency of the stocks traded simultaneously in China’s A shares and B shares Research.The empirical results show that there exists a serious “market segmentation” phenomenon in the A-share and B-share markets before the B-share is open to domestic investors; after the B-share market is opened to domestic investors, this “market segmentation” "Before the B-share market liberalization, the common factor contribution method that the Shanghai Stock Exchange and the Shenzhen Stock Exchange are A-share information-led, at the same time, the information share method has been a similar conclusion in the B-share market after the opening , Common factor contribution method results obtained for the Shanghai Stock Exchange 69.52% of the shares of the information is revealed by the A-share market, the Shenzhen Stock Exchange was 70.29%; information share obtained the conclusions were 64.81% and 62.47% for the A shares B share), the conclusion of the two is also consistent: Both the common factor contribution method and the information share method all hold the view that after the opening of the B-share market, the common-factor weight of the A-share market and the share of the information of the A-share market Have reduced less.