股权分置改革后A＋H股价差的实证研究被引量：33

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摘要基于面板数据对完成股权分置改革的A+H股溢价率数据进行的聚类分析,其结果表明:信息不对称差异、需求差异、流动性差异和投资理念差异都是对A+H股价差产生影响的因素;低溢价率类股票的情况与理论假说一致,但高溢价率类的股票与假说有一定程度上的背离。随着股权分置改革的基本完成以及资本市场开放步伐的加快,市场间分割因素将逐步减弱甚至消除,A+H股价差可能会有一定程度的收窄,但流动性差异、投资理念差异等一系列软分割的影响,使得A+H股价差仍将继续存在。

作者巴曙松朱元倩顾媞

机构地区中国科学技术大学中山大学

出处《当代财经》 CSSCI 北大核心 2008年第5期51-56,共6页 Contemporary Finance and Economics

关键词面板数据聚类分析固定效应模型变截距模型溢价率

分类号 F830.91 [经济管理—金融学]

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