南开管理评论
南開管理評論
남개관리평론
Nankai Business Review
2015年
2期
92~102
,共null页
A H股溢价 投资者行为 投资者情绪 投机行为
A H股溢價 投資者行為 投資者情緒 投機行為
A H고일개 투자자행위 투자자정서 투궤행위
AH share premium; Investor behavior; Investor sentiment; Speculative behavior
欧美资本市场普遍存在外资股溢价现象,与此相反,我国则长期存在A H股溢价现象。本文从A H股溢价是否合理这一新的视角出发,分析并检验投资者行为对A H股溢价的影响。结果发现：（1）A H股相对市场情绪以及在A H股市场情绪接近时,A股绝对市场情绪均与A H股溢价显著正相关;（2）个股的投机性与A H股溢价显著正相关;（3）个股的投机性越强,市场情绪与A H股溢价的正相关关系越强。并且,上述研究结果不受新会计准则变更、融资融券制度、样本选择、变量定义和估计方法等因素的影响。这些结果说明,投资者行为是A H股溢价的重要影响因素,A H股溢价可能还存在很大程度的不合理成分。上述结果对监管层、投资者和研究者均有一定启示。
歐美資本市場普遍存在外資股溢價現象,與此相反,我國則長期存在A H股溢價現象。本文從A H股溢價是否閤理這一新的視角齣髮,分析併檢驗投資者行為對A H股溢價的影響。結果髮現：（1）A H股相對市場情緒以及在A H股市場情緒接近時,A股絕對市場情緒均與A H股溢價顯著正相關;（2）箇股的投機性與A H股溢價顯著正相關;（3）箇股的投機性越彊,市場情緒與A H股溢價的正相關關繫越彊。併且,上述研究結果不受新會計準則變更、融資融券製度、樣本選擇、變量定義和估計方法等因素的影響。這些結果說明,投資者行為是A H股溢價的重要影響因素,A H股溢價可能還存在很大程度的不閤理成分。上述結果對鑑管層、投資者和研究者均有一定啟示。
구미자본시장보편존재외자고일개현상,여차상반,아국칙장기존재A H고일개현상。본문종A H고일개시부합리저일신적시각출발,분석병검험투자자행위대A H고일개적영향。결과발현：（1）A H고상대시장정서이급재A H고시장정서접근시,A고절대시장정서균여A H고일개현저정상관;（2）개고적투궤성여A H고일개현저정상관;（3）개고적투궤성월강,시장정서여A H고일개적정상관관계월강。병차,상술연구결과불수신회계준칙변경、융자융권제도、양본선택、변량정의화고계방법등인소적영향。저사결과설명,투자자행위시A H고일개적중요영향인소,A H고일개가능환존재흔대정도적불합리성분。상술결과대감관층、투자자화연구자균유일정계시。
According to existing literat ure, in developed stock market such as Europe and America, the stock prices for the same company are usually higher in foreign market than in local market. This phenomenon is called foreign price premiums. However, in China stock market, the stock prices are mostly higher in local market than in foreign market. I.e., there is local share premium in China. In other word, the price of A share is always much higher than that of H share in China, while foreign price premiums is dominant in western developed stock markets. In this paper, from a new perspective of whether AH share premium is justified, we analyze and test the inf luence of investor behavior on AH share premium. Using the sample of AH firms from 2006-2011, we find that：（1） The relative sentiment and absolute sentiment of investors which conditional on the small difference between A and H market absolute sentiment are significantly and positively correlated with AH share premium.（2） Speculative stocks have higher AH premium.（3） The positive correlation between AH share premium and investor sentiment is stronger in speculative stocks. Above empirical findings are held for alter native sample choices, variable def initions and estimation methods. These results suggest that AH share premium can be explained by investor behavior and probably a large part of AH premium cannot be justified by CAPM, which have important implication for regulators, investors and scholars. First, by exploring the role of sentiment and speculation in AH share premium, this paper has important implication for stock evaluation problem in A-share in mainland China. Second, this paper enrich the literature of AH share premium by analyzing and investigating how investor behavior inf luence stock price. Finally, using a unique data of AH market, this paper also provides support for the investor sentiment theory proposed in Baker and Wurgler（2007）.
