永久/暂时模型及信息分享模型下交叉上市公司价格发现研究——基于A+H股上市公司的实证检验

根据Gonzalo和Granger(1995)的永久/暂时模型(Permanent/Transitory)及Hasbrouk(1995)的信息分享模型(Information Share),以同时在A股市场和H股市场交叉上市的公司为研究对象,就A股市场和H股市场的价格发现能力进行了评估。实证结果表明:虽然A股、H股价格存在差异,但是两者的变动存在协整关系且相互进行调整;就价格发现能力来看,A股、H股市场都发挥了重要作用,但是A股市场的贡献要高于H股市场。

Price Discovery Models: Permanent/Transitory and Information Share——Applications to the A and H Shares Cross- Listing Firms

In this paper,two well-known common factor models,the permanent-transitory model proposed by Gonzalo and Granger(1995) and the information share model proposed by Hasbrouck(1995) are used to measure the contribution of A share market and H share market to the price discovery process.Empirical tests show that prices of A share and H share stocks are different from each other,but they are co-integrated and mutually adjusting.The results of both models show that A share market makes more contributions to the price discovery,but the contributions of H share market are also significant and magnitude.