CAJ | 학술논문

本文选取A股、H股同时上市的公司股票价格数据为样本，采用Granger因果检验和信息份额模型，实证检验了股权分置改革前后A股、H股价格发现的动态演化过程。Granger因果检验表明，股改后H股更多地引导A股；信息份额模型显示，股改前，A股市场在股票价格的形成中占有一定的优势，股改后，H股市场在股票价格的形成中的优势逐渐明显。实证结果表明，股改后A股市场与成熟资本市场正逐步接轨，A股市场与H股市场的关联性得到进一步加强。
본문선취A고、H고동시상시적공사고표개격수거위양본，채용Granger인과검험화신식빈액모형，실증검험료고권분치개혁전후A고、H고개격발현적동태연화과정。Granger인과검험표명，고개후H고경다지인도A고；신식빈액모형현시，고개전，A고시장재고표개격적형성중점유일정적우세，고개후，H고시장재고표개격적형성중적우세축점명현。실증결과표명，고개후A고시장여성숙자본시장정축보접궤，A고시장여H고시장적관련성득도진일보가강。
This paper have adopted Granger causality analysis method and information shares model based on the A and H stock price of dual - listed companies, compared A and H markets＇ price discovery mechanism before and after the share desegregation reform. Much importance is attached on the application of information shares model for quantitative analysis. The empirical results of Granger causality analysis method shows that, after the reform, the prices of H shares have more effect on A shares price while the empirical results of information shares model shows that, before the reform, A shares market has more leadership in the stock price formation process, while after the reform, H shares market＇ s leadership have become more and more obvious. The study showed that, A shares market has become more and more mature after reform, and the A and H shares markets has become more and more interdependent.