AH股溢价能影响股票未来收益率吗?
Can AH Premium Affect Stock Future Return?
万谍 1何奕扬2
作者信息
- 1. 浙江工商大学金融学院,杭州 310018
- 2. 厦门大学管理学院,厦门 361005
- 折叠
摘要
通过交叉上市资产来分析制度差异与定价机制的关系,对于推进资本市场深化改革、优化资源配置功能,具有重要的理论和现实意义.基于近20年147支内地、香港同时上市股票的月度数据,本文的实证结果发现:在控制主要影响因素后,AH股溢价能负向显著影响A股未来收益率,但不能显著影响H股的未来收益率;AH股溢价对A股未来收益率的影响主要集中在套利限制较小的个股中,且AH股溢价越高的股票,下月融券卖出余额越多.这些结果表明,因制度与投资者结构的差异,A股有比H股更大的波动且更易形成定价错误,而AH股溢价的定价能力源于有套利者针对A股中的错误定价进行反向交易.本文首次将AH股溢价作为一个定价因子考虑,并提供了其定价能力的证据和机制解释,拓展了对交叉上市股票定价机理的理解.
Abstract
To analyze the relation between institutional difference and pricing mech-anism by cross-listed asset is of significant theoretical and practical value for deep-ening capital market reform and optimizing resource allocation.Based on monthly data from 147 Chinese mainland and Hong Kong dual-listed stocks over the past 20 years,our empirical results reveal that,after controlling for major influencing factors,the AH premium has a significantly negative impact on future returns of A-shares but does not significantly impact the future returns of H-shares.The impact of the AH premium on the future returns of A-shares is mainly concentrated in stocks with fewer arbitrage restrictions,and stocks with higher AH premiums have higher short-selling balances in the following month.These results indicate that due to differences in institutions and investor structures,A-shares experience greater volatility and are more prone to pricing errors compared to H-shares,and the pricing ability of the AH premium stems from arbitrageurs engaging in reverse trading against the mispricing in A-shares.This study,for the first time,considers the AH premium as a pricing factor and provides evidence and mechanisms for its pricing ability,expanding the understanding of the pricing mechanism of cross-listed stocks.
关键词
AH股溢价/股票收益/套利限制/定价效率Key words
AH premium/stock return/limits of arbitrage/pricing efficiency引用本文复制引用
基金项目
浙江省哲学社会科学基金(23NDJC353YB)
国家社会科学基金(21BJY265)
浙江省自然科学基金(LY21G010001)
出版年
2024
NETL
NSTL
万方数据