| Although the stock market of our country established later, it attracted foreign and domestic researchers' eyes as soon as its foundation. Especially on this unique phenomenon of discount of foreign class share of our country, they have done a large amount of research. But the research almost concentrated on B-share discount. H-share has received little attention both on theoretic study and empirical study. This thesis uses the theories of the econometrics and microstructure of stock markets, analyse H-share discount theoretically from information asymmetry, liquidity effect, diversification benifit, demand elasticity, risk choice degree and exchange rate risk, etc. Cross-sectional model and panel model is constructed to examine each influence factor in order to probe into to the main factors causing H-shares discount.The result based on empitical test of diurnal data shows: information asymmetry, liquidity effect, demand elasticity difference and non-negotiable stock factor are the main factors of H-share discount. Information asymmetry effects discount more remarkably during rising band than drop phase. Risk choice degree can explan the rate of discount during drop phase, but has no influence during rising phase. Phase ananlyse indicate that industrial factors have conspicuous effects on discount.Under the expectancy of markets amalgamating, according to the conclusions of theoretical analysis and empirical study, the thesis offers four suggestions: First, improve information asymmetry, perfect the system of information publish, and norrnalize the system of price signal of A-share; Second, lead A-share investors to invest reasoningly, and cultivate market atmosphere of rational investment; Third, weaken the influence of non-negotiable stocks and close the price of A-share and H-share; Fourth, strengthen the open of the markets progressively, enhance the interdynamic between A-share market and H-share market futher through the introduction of QDII and CDR. |
PDF Full Text Request