: A H, AH, AH, : ; AH ; AH,;, AH,,,,,,Hietala (1989),Bailey Jagtiani (1994),Stulz Wasserfallen (1995) Domowitz, Glen and Madhavan (1997), Bailey, Chun

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1 A H 3 :, AH, AH : A H,AH ; AH ; AH,AH ;, QDII AH, AH :AH QDII AH, A H AH, AH, A H,, AH AH AH,AH, A H AH ,,, H A, A H,AH,AH, AH, AH,, AH, AH : A H,AH ;AH ; AH,AH ;, QDII AH AH, AH 3, () ; :, com, 119

2 : A H, AH, AH, : ; AH ; AH,;, AH,,,,,,Hietala (1989),Bailey Jagtiani (1994),Stulz Wasserfallen (1995) Domowitz, Glen and Madhavan (1997), Bailey, Chung Kang(1999) 11,,, AH AB B, B A,, AB AB, Chakravarty, Sarkar Wu (1998),, B A Stulz Wasserfallen (1995),,B,,A,, AB,B Amihud Mendelson (1986),, Longstaff (1995),AB,,Ma (1996),AB Chen, Lee Rui (2001), AB AB, AH (2004) Stulz Wasserfallen (1995) A H , B,B A (2002), B A B,A H, B,A B, ; A H 120

3 2008 4,(2004),H, H,, (2006) H,A H A,(2007) AH, 51 AH,Chen, Lee and Rui (2001), AH ;, AH, QDII AH AH ( ) AH AH, , AH AH A H,51 AH,46 H A, ; A H ; A H ,51 AH A %, H % 1 AH A H A H () A ( %) H ( %) AH

4 : A H 1 A H A H () A ( %) H ( %) AH : Wind A,A H AH

5 ( ) AH AH A H,,A H : Pr emium i, t = p A i, t p H i, t Erate t (1),Pr emium i, t i t AH, p A i, t i t A, p H i, t H, Erate t t, Π 51 AH, Wind A H ,,,, AH , ,51 AH 2157, 10117, 1114, %, AH 1, 4101, A H, 1 AH,,AH ,AH ; ,AH ; 2001,AH AH ,A, 1 AH, A H, 2001,A 5,, 2003, A H,AH, ( ) 1. Chen, Lee Rui (2001), A H A H, A H, AH 123

6 : A H AH,,,, H A,,,,AH, H,H,AH AH H, H H,,,,AH H,,H A,H,AH, H A H A,,Mei, Scheinkman Xiong(2005) A, A A B,,,,AH A H, Chen, Lee Rui (2001),(Panel Data) : Pr emium i, t = b 0 + b 1 Pr emium i, t b 2 ( SO H ΠSO A + H ) i, t + b 3 ( Turnover H ΠTurnover A ) i, t + b 4 ( Size A + H ) i, t + b 5 ( A Π H ) i, t + i, t (2),Pr emium AH, ( SO H ΠSO A + H ) H, ; ( Turnover H ΠTurnover A ) H A, ; ( Size A + H ) A H,; ( A Π H ) A H, b 0, AH,AH, AH, Domowitz, Glen Madhavan (1997) GMM GMM ( Generalized Method of Moments),,,, Wind 2. 2, b 1,AH b 2,,, b 3,AH H A,, Mei, Scheinkman Xiong(2005),A b 4,, AH, A ( ), 124

7 b 5, b 5,,,,AH,, H, H AH,H A,,, GMM,, 2 AH GMM Pr emium t - 1 ( b1) ( SO H ΠSO A + H ) ( b 2 ) ( Turnover H ΠTurnover A ) ( b 3 ) ( Size A + H ) ( b 4 ) ( A Π H ) ( b 5 ) Constant ( b 0 ) Pr emium t [ ] [67124 ] 333 [2143 ] [7137 ] 333 [12178 ] [89180 ] 333 [5151 ] [25104 ] 333 [4136 ] [50113 ] 333 [ ] 333 [ ] 333 [78198 ] 333 [4101 ] 333 Observations : z ; % 5 % 1 % ( ) AH Chen, Lee Rui (2001), AH 1.,AH, (CAPM) AH,, R i, t - R f, t = i + i ( R m, t - R f, t ) (3), R i, t, R f, t, R m, t, i,, i (3) : R i, t = i + i R m, t + (1 - i ) R f, t (4), i i,, i i,, 125

8 : A H, A H AH, Chen, Lee Rui (2001),: Pr emium i, t = b 0 + b 1 Pr emium i, t b 2 ( SO H ΠSO A + H ) i, t + b 3 ( Turnover H ΠTurnover A ) i, t + b 4 ( Size A + H ) i, t + b 5 ( A Π H ) i, t + b 6 R A m, t + b 7 R H m, t + b 8 ( R A f, tπr H f, t ) + i, t, R A m, t A, R H m, t H, R A f, t A, R H f, t H (4), i,a AH,H AH ;AH i,: p = D R e - g,p, D, R e, g,, R e = R f + R premium,pr emium = RH f + R H premium - g R A f + R A premium - g, AH H,A, b 8 A, H Wind, ( ),,AH,,A, H,A AH,,,AH, A,,,, AH (2005),,,,,,,AH,,,, ;,, (5), : Pr emium i, t = b 0 + b 1 Pr emium i, t b 2 ( SO H ΠSO A + H ) i, t + b 3 ( Turnover H ΠTurnover A ) i, t + b 4 ( Size A + H ) i, t + b 5 ( A Π H ) i, t + b 6 R A m, t + b 7 R H m, t + b 8 ( R A f, tπr H f, t ) + b 9 Per - holding i, t + b 10 L argest - holding i, t + b 11 Top - shares i, t + i, t, Per - holding i, t A,Largest - holding i, t, Top (5) (6)

9 shares i, t, b 9, b 10, b 11 Wind 2., Domowitz, Glen Madhavan (1997) GMM 3 b 6 b 7,, A H,A, H b 8,A H AH, AH b 9 b 11, b 10,, AH,, ( ) AH,,,, ,,,,, , QDII, ; ,,,,, AH QDII AH 1. AH ,,, ( ),, A, A A,H,,A,A H,AH A,A,AH,,,, , ,A (2007),227 AH,, 60 AH, 60 (6),, 51 AH, 31,,A H, H,

10 : A H 3 AH GMM Pr emium t - 1 ( b 1 ) Pr emium t [ ] 333 [ ] 333 [ ] 333 [ ] 333 [ ] 333 ( SO H ΠSO A + H ) ( b 2 ) [2119 ] 33 [1186 ] 3 [1179 ] 3 [1153 ] [1150 ] ( Turnover H ΠTurnover A ) ( b 3 ) ( Size A + H ) ( b 4 ) ( A Π H ) ( b 5 ) R A m ( b 6 ) R H m ( b 7 ) ( R A f ΠR H f ) ( b 8 ) [7148 ] 333 [7146 ] 333 [7146 ] 333 [7144 ] 333 [7144 ] [6140 ] 333 [6114 ] 333 [6119 ] 333 [6120 ] 333 [6124 ] [4158 ] 333 [4157 ] 333 [4157 ] 333 [4160 ] 333 [4160 ] [33120 ] 333 [33113 ] 333 [33112 ] 333 [33111 ] 333 [33111 ] [25158 ] 333 [25153 ] 333 [25153 ] 333 [25153 ] 333 [25153 ] [4127 ] 333 [4129 ] 333 [4127 ] 333 [3196 ] 333 [3196 ] 333 Per - holding ( b 9 ) [1104 ] [1105 ] [1115 ] [1115 ] Largest - holding ( b 10 ) [0149 ] [0134 ] Top - shares ( b 11 ) [1149 ] [1142 ] Constant ( b 0 ) [4158 ] 333 [4177 ] 333 [4167 ] 333 [4184 ] 333 [4173 ] 333 Observations : z ; % 5 % 1 % 4 AH, A (6),,AH, AH 21QDII AH ,,,QDII, , 128

11 AH t Πz (1) (2) (2) - (1) P AH (6) Z P : t,wilcoxon ; % 5 % 1 %, QDII, QDII, QDII,,QDII AH, H A,QDII AH ,,,,, H, H A,,, ,,,, QDII, QDII AH, , AH, (6),,QDII 51 AH,, 49 5,AH,,AH ,AH, AH (6),,QDII AH AH, 1,QDII H A,, QDII AH,, 129

12 : A H 5 QDII AH t Πz (1) (2) (3) (4) (2) - (1) (3) - (2) (4) - (3) AH (6) z P : t,wilcoxon ; % 5 % 1 % 51 AH, AH ;Chen, Lee Rui (2001), AH ;, AH, QDII AH :, A H,AH ;, AH ;, AH,AH ;,, QDII AH AH,AH, AH AH, AH,AH, A,,,,,,,, AH, AH,,,, A QFII,QDII,, AH,, H CDR ( ) AH,,,,AH 130

13 2008 4,2007 :A - H,,2005 :,2,2006 : A H QFII,3,2004 : H A, 1,2004 : A H, 7,2007 :, 8,2002 : B A B,12 Amihud, Y. and H. Mendelson, 1986, Asset Pricing and the Bid2ask Spread, Journal of Financial Economics 17, Bailey, W., Chung, P., and J. K. Kang, 1999, Foreign Ownership Restrictions and Equity Price Premiums : What Drives the Demand for Cross2border Investments? Journal of Financial and Quantitative Analysis 34, Bailey, W. and J. Jagtiani, 1994, Foreign Ownership Restrictions and Stock Prices in the Thai Capital Market, Journal of Financial Economics 36, Chakravarty, S., Sarkar, A., and L. Wu, 1998, Information Asymmetry, Market Segmentation and the Pricing of Cross2listed Shares : Theory and Evidence from Chinese A and B Shares, Journal of International Financial Markets, Institutions and Money 8, Chen, G. M., Lee, B. S., and O. Rui, 2001, Foreign Ownership Restrictions and Market Segmentation in China s Stock Markets, Journal of Financial Research 24, Domowitz, I. ; J. Glen ; and A. Madhavan, 1997, Market Segmentation and Stock Prices : Evidence from An Emerging Market, Journal of Finance 52, Hietala, P., 1989, Asset Pricing in Partially Segmented Markets : Evidence from the Finnish Market, Journal of Finance 44, Longstaff, Francis A., 1995, How Much can Marketability Affect Security Values? Journal of Finance 50, Ma, X., 1996, Capital Controls, Market Segmentation and Stock Price : Evidence from the Chinese Stock Market, Pacific2Basin Finance Journal 4, Jianping Mei, Jose Scheinkman and Wei Xiong, 2005, Speculative Trading and Stock Prices : Evidence from Chinese A2B Share Premia, Working Paper. Stulz, R. M. and W. Wasserfallen, 1995, Foreign Equity Investment Restrictions and Shareholder Wealth Maximization : Theory and Evidence, Review of Financial Studies 8, The Empirical Study on Chinese A2H Share Premium Hu Zhanghong and Wang Xiaokun (CCB International ( Holdings) Limited) Abstract :This paper describes the pattern of A2H share premium of 45 A2H listed firms since their listing dates, and empirically explores the reasons of A2H share premium from the perspectives of company, market, interest, investor and important policy. The empirical results suggest that A2H share premium first increases then decreases in the testing period ; the Liquidity Hypothesis and Asymmetric Information Hypothesis are more powerful in explaining A2H share premium ; the market volatility and interest change have significant effects on A2H share premium, but investor structure and corporate governance have no significant effect ; and after controlling other factors, the share merger reform, QDII policy and Through2Train policy have no significant effect on A2H share premium. The result further proves that the market segmentation and capital flow restrictions are the determinants of A2H share premium. Key Words :A2H Share Premium ; CAPM Model ; Share Merger Reform ; QDII; Through2Train JEL Classification : G14 ( : ) (: ) 131

( ) : ,,, 10 %,,, :,,,,, : (1) ; (2), ; (3), ; (4), ; (5) ( ), (2003),,,,,,, , 20,, ST,,,, :? ( ) 3 ( ) 77

( ) : ,,, 10 %,,, :,,,,, : (1) ; (2), ; (3), ; (4), ; (5) ( ), (2003),,,,,,, , 20,, ST,,,, :? ( ) 3 ( ) 77 2005 4 3 ( 100084) : 1998 2002,,, 10 %,,, :,,,,, : (1) ; (2), ; (3), ; (4),; (5) ( ),(2003),,,,,,, 1997 1, 20,, ST,,,,:? ( ) 3 (70473046) 77 :,?,, Modigliani Miller (1958), Jensen Meckling (1976),Grossman