A股与H股动态相关关系研究

内容摘要：截至2012年4月，共有73家中国公司同时在内地、香港发行上市了A股和H股（简称A+H股）。H股已成为香港证券市场的一个重要组成部分,对于中国内地企业海外融资和香港证券市场的发展,也起到了巨大的推动作用。同一家公司股票，产生相同的未来现金流，在资本市场充分融合，具有相同的未来收益和风险特征的条件下，股票价格不会受交易地点的影响。然而由于存在投资者限制、信息不对称，语言和文化的障碍，导致市场分割，同一家公司在香港和内地上市交易的股票价格会存在差异。本文通过对2003年至2011年期间市场指数波动相关性以及10家H股、A股双重上市公司波动相关性研究，发现A股、H股的波动相关性正在增强，H股、A股双重上市公司的股价在不断融和，并对其原因进行分析。

关键词：市场分割， A股， H股
The Analysis of the Dynamic Correlation
of A Share and H Share

Abstract: There have been 73 Chinese companies gone public in both A share market and H share market (referred to as the A+H share) until April 2012. H share market has become a significant component of the Hong Kong securities market. And it also plays a tremendous role in promoting the development of the Chinese enterprises overseas financing and the development of the Hong Kong securities market. Stocks issued by the same company should have the same expected cash flows. So if the capital markets get integrated enough and the investors have the same expectation of the future returns and risk characteristics, the stock prices should not be influenced by the difference of the trading locations. However, due to the existence of investor constrains, information asymmetry, language and culture barriers, stock price of the same company go public in both A share market and H share market could be different. In this paper, I analyze the fluctuations of the correlation of the market indices over the period 2003-2011 and the fluctuations of the correlation of 10 companies go public in both A and H share market. The results demonstrate that the correlation of A and H shares is enhanced, and the prices of A+H shares are getting identical. At last I analyze the reason behind it.

Keywords: Market Segmentation， A-share， H-share

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