1、姓名：刘淼 学号：34020051300717TEL：+0 13515105396 E MAIL：主导师：洪永淼，冼刍荛 导师组成员：方颖沪深两市A、B股的价格发现研究Price Discovery of Chinese Stock MarketEvidence From A and B Markets刘 淼Liu Miao主导师：洪永淼，冼刍荛Main advisors: Yongmiao HONG，Chor-yiu SIN中 文 摘 要中国外资股相对于内资股折价是一个由来已久的问题，具有明显的中国特色。在一定程度上内外资股价的差异源于制度的因素。随着制度的变革，内资股市场与外资股市场的情况
2、不断变化，价格差异却一直存在，甚至有价差增大的趋势。本文从长期视角研究沪深两交易所A、B股市场的价格发现关系，通过领先滞后模型、长期短期模型和信息分享模型对样本进行分段实证分析，检验了A、B股价格发现的关系，并验证了经济学的价格发现机理和笔者的推测。全文共分为五章。第一章首先提出问题，并介绍价格发现的定义，着重强调了价格发现与市场的关系，然后综述了国内外对股票市场价格发现的理论研究成果和重要的实证研究。通过对文献的提炼与推敲，定位本文的研究思路和贡献。第二章从经济学角度概括价格发现的机理，包括价格发现的市场供求机理市场参与者调整机理和信息搜寻机理，并从这些机理中得出一些价格发现的理论推断，推测
3、沪深股票市场可能的情况。第三章介绍沪深A、B股市场概况，概括了它们最初的定位、发展历程和目前状况。通过对沪深股市走势分析和成交量、换手率等指标的研究为下文的建立模型和分段分析提供思路。第四章做了沪深A、B股市场的单整及协整检验。通过单整检验为协整检验做铺垫，以及一阶差分的表现为领先滞后模型存在GARCH效应提供思路。通过协整检验分析沪深两市A、B股指数的长期均衡关系，保证长期短期模型和信息分享模型的假设成立并得以实现。第五章具体介绍了三种理论模型并进行实证分析，研究发现沪深两市A股市场在价格发现上具有优势，印证了价格发现的机理与之前的猜测；并且A、B两个市场的整合程度在不断提高。另外，房地产板
4、块交叉上市的个股也强烈支持与指数一致的结论。最后一章对沪深股市的发展提出建议，也给投资者提供一些投资思路。关键词：沪深股市；价格发现；实证研究AbstractThe issue has been so long time that Chinese foreign stock has a much lower price compared with Chinese domestic stock, which is also unique for China. As time went by, the circumstances of foreign stock market and domest
5、ic stock market have changed a lot but the gap of their prices still exists, even has extended.This paper focuses on price discovery of A and B shares in Shanghai and Shenzhen stock exchanges in a long period. By empirical study of Lead-lag model, Permanent-Transitory model and Information Share mod
6、el, I study the relationship of prices between A and B shares.There are five chapters in this paper. Chapter 1 introduces the definition of price discovery and literature in this field, and then shows a guideline of this paper.Chapter 2 introduces mechanism of price discovery from the view of econom
7、ics, including demand and supply principle, participants adjustment mechanism and information searching principle. From these theories I make some inferences about price discovery between A and B shares.Chapter 3 gives a whole idea of Chinas stock market by introducing its history, development proce
8、ss and present situation. Then I analyze market trend, volumes and turning-over-rate to shed lights on model design.Chapter 4 tests integration and cointegration of A and B shares. The results of integration indicate that the performance of stock returns satisfies GARCH process, and they promise coi
9、ntegration tests, which ensure estimation of price discovery using P-T model and IS model.Chapter 5 describes three models and their empirical results. The conclusion is that A share has a significant advantage in price discovery compared with B share both with index and individual data, and their correlation has become closer and closer as time went by.The last chapter is conclusion and some investment suggestions.Key words: Chinese stock market; Price discovery; Empirical study
