中國雙軌發行股票之價差研究 —以A 股與B 股、H 股及ADR 為例

雙軌發行股票之價差研究是學者偏好探討的議題、也是投資人在市場上追求的獲利機會、更是政府穩定經濟波動的重要因子。本研究主要在探討中國上海、深圳A 股與其相對雙軌發行B 股、香港H 股、美國ADR 的價差相關因素，並且利用市場的效率性與流動性、資訊不對稱與風險接受度、市場投資人預期成長性與期望報酬、公司無形資產與股權分布等變數，以複迴歸與棋盤迴歸分析找出與價差有關的指標，對價格偏離的價差現象有更進一步的解釋。本文以1993 至2006年之市場資料做實證，結果顯示：各配對市場相同之處，第一，A 股相較其相對應股票的交易成本越高，則兩者之價差越大。第二，A 股相較其相對應股票的流動性越高，則兩者之價差越大。第三，A 股本益比高、淨值市價比低與股利率高的公司，則A 股與其相對應股票之價差越小。相反的，各配對市場不同之處，第一，大型公司的中國A 股對H 股、ADR 之價差較小。第二，在漲跌幅10%的限制政策實施後，上海、深圳A 股對B 股的價差變小，中國A 股對H 股、ADR 的價差變大。第三，政府持有公司股權的比例越高， A 股對ADR 的價差越小。本文期望能給受中國熱潮吸引的投資人在證券投資上多些想法，給予中國企業在證券市場上籌資不同的觀點，並給中國政府在設立證券市場法規時參考。Price differentials are not only hot issues in previous researches but important factors controlled by administrations to stabilize the economic fluctuation. This thesis aims to find the factors affected the price differentials between A shares and other three listing stocks. We use three comparions to examine the effect; they are A shares with dual-listed B shares in China Shanghai and Shenzhen stock market, A shares in China stock market and dual-listed H shares in Hong Kong, A shares in China and dual-listed ADRs in America stock market. We use the market efficiency, market fluctuation, information asymmetry, investors' risk acceptance, expected growth returns, enterprises'invisible asset and shareholding system as variables and adopt multiple regressions and panel data regressions to analyze the relation between price differentials during 1993 to 2006. By comparing A shares with all the other three stocks, we reach three consistent conclusion as follows. First, when the transaction cost of A shares is higher than the dual-listed shares', the price differentials between them are higher. Second, when the liquidity of A shares is higher than the liquidity of dual-listed shares, the price differentials between them increase. Third, when the A shares' price-earnings ratios are low, book-market ratios or dividend yields are high, the price differentials between A shares and dual-listed shares are low. However, we also find three inconsistent relations between A shares and the others. First, the price differentials between large enterprises'A shares and dual-listed H shares, dual-listed ADRs, respectively, are lower than small companies. Second, after executing the 10% price limits law, the price differentials between Shanghai and Shenzhen A shares and dual-listed B shares are lower than before, but the other two groups are in opposite situation. Third, when government owns more shares of an enterprise, the price differentials between A shares and dual-listed ADRs are lower. We hope that this research can give some investment thoughts to the investors attracted by hot China market, supply some different opinions for enterprises going to list and offer some information for policymakers of security market.第一章 緒論 1 第二章 中國證券市場概況 3 第一節 中國證券市場的結構介紹 3 第二節 中國公司發行海外存託憑證介紹 5 第三節 中國證券法令與政策探討 6 第三章 文獻回顧 9 第一節 市場流動性與交易成本 9 第二節 風險假說 10 第三節 資訊不對稱 11 第四節 開發中與已開發國家金融市場 13 第四章 資料與研究方法 14 第一節 資料介紹與研究設計 14 第二節 日自製指數之研究方法-複迴歸 15 第三節 年個別股票之研究方法-棋盤迴歸 25 第五章 實證結果分析 32 第一節 日自製指數之實證結果-複迴歸 32 第二節 年個別股票之實證結果-棋盤迴歸 34 第六章 結論與建議 37 第一節 結論 37 第二節 建議 38 參考資料 7