2008 4 A H 3 :, 2007 12 31 51 AH, AH : A H,AH ; AH ; AH,AH ;, QDII AH, AH :AH QDII AH, A H 1993 8 27 AH, 2007 12 31 51 AH, A H,, AH AH 2007 7 9 AH,AH, A H AH 2007 8 20,,, H A, A H,AH,AH, AH, AH,, 2007 12 31 51 AH, AH : A H,AH ;AH ; AH,AH ;, QDII AH AH, AH 3, () ; :, :wangxk @ccbintl. com, 119
: 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 2001 2 28, B,B A (2002), B A B,A H, B,A B, ; A H 120
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 1993 8 27 AH,2007 12 31, AH 51 1 51 AH A H,51 AH,46 H A, ; A H ; A H 2007 12 31,51 AH A 18103 %, H 30163 % 1 AH A H A H () A ( %) H ( %) AH 600600 0168 19930827 19930715 130822 18102 50107 1159 600685 0317 19931028 19930806 49468 32147 31182 1197 600688 0338 19931108 19930726 720000 10100 32136 3173 600806 0300 19940103 19931207 42486 31110 26153 2131 600808 0323 19940106 19931103 675855 17168 25164 2107 600860 0187 19940506 19930806 42200 28155 23170 3197 600871 1033 19950411 19940329 400000 5100 35100 4122 600874 1065 19950630 19940517 142723 24199 23182 2178 600875 1072 19951010 19940606 81700 12108 20181 1144 600876 1108 19951031 19940708 50002 14120 50100 10115 000585 0042 19951213 19950706 87337 44182 29154 3191 600775 0553 19961118 19960502 65502 11195 36195 4110 000666 0350 19961210 19960202 60380 37165 29194 3117 000756 0719 19970806 19961231 45731 26113 32180 3138 121
: A H 1 A H A H () A ( %) H ( %) AH 600115 0670 19971105 19970205 486695 8114 32120 2194 000063 0763 19971118 20041209 95952 50180 16169 1162 000898 0347 19971225 19970724 723481 17171 15101 1151 600188 1171 19980701 19980401 491840 7132 39182 1152 000921 0921 19990713 19960723 99201 21195 46133 10117 600377 0177 20010116 19970627 503775 6193 24126 1132 600332 0874 20010206 19971030 81090 20109 27112 2146 600028 0386 20010808 20001019 8670244 9180 19135 2112 600011 0902 20011206 19980121 1205538 22198 25134 1193 600548 0548 20011225 19970312 218070 9199 34128 1155 600362 0358 20020111 19970612 302283 9135 45190 2184 600585 0914 20020207 19971021 156643 16178 27166 1114 600036 3968 20020409 20060922 1470506 32104 18110 1133 600026 1138 20020523 19941111 332600 13157 38197 1192 600012 0995 20030107 19961113 165861 28109 29172 1136 600029 1055 20030725 19970731 437418 22186 26184 2190 600027 1071 20050203 19990630 602108 18195 23177 2155 601988 3988 20060705 20060601 25383916 2105 29195 1186 601111 0753 20060818 20041215 1225136 10152 35196 2152 601588 0588 20061016 19970514 336702 44155 21100 3115 601398 1398 20061027 20061027 33401885 3161 24187 1155 601991 0991 20061220 19970321 1172928 37162 27184 3116 601333 0525 20061222 19960514 708354 38179 20121 1177 601628 2628 20070109 20031218 2826471 3118 26133 1153 601005 1053 20070228 19971017 173313 20119 31105 2136 601318 2318 20070301 20040624 734505 10196 34183 1135 601998 0998 20070427 20070427 3903334 4157 31177 2121 000338 2338 20070430 20040311 52065 33171 24130 1162 601600 2600 20070430 20011212 1288661 8191 30161 2161 601328 3328 20070515 20050623 4899438 4156 47108 1153 601919 1919 20070626 20050630 1021627 12122 25126 2111 601939 0939 20070925 20051027 23368908 3185 96115 1159 601808 2883 20070928 20021120 449532 11112 34114 2106 601088 1088 20071009 20050615 1988962 6134 17109 1150 601857 0857 20071105 20000407 18302098 1164 11153 2138 601390 0390 20071203 20071207 2129990 15136 19175 1114 601866 2866 20071212 20040616 1168313 14100 32111 2182 18103 30163 2157 : Wind A,A H AH 2007 12 31 122
2008 4 ( ) 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 1993 8 27 2007 12 31 51 A H 1994 1 1,,,, AH 1994 1 3 2007 12 31 1,2007 12 31,51 AH 2157, 10117, 1114, 95172 %, AH 1, 4101, A H, 1 AH,,AH 1994 1997,AH ; 1998 2000,AH ; 2001,AH AH 1998 2000,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
: 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 - 1 + 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
2008 4 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 1 2 3 4 5 019922 [591192 ] 333 2014379 010875 [67124 ] 333 [2143 ] 33-010249 - 010082 [7137 ] 333 [12178 ] 333-212050 - 010156 [89180 ] 333 [5151 ] 333-210368 - 010151 [25104 ] 333 [4136 ] 333-1018322 410417 3117226 517989 011856 [50113 ] 333 [236178 ] 333 [101118 ] 333 [78198 ] 333 [4101 ] 333 Observations 64496 64496 64496 64493 64444 : z ; 3 33 333 10 % 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
: A H, A H AH, Chen, Lee Rui (2001),: Pr emium i, t = b 0 + b 1 Pr emium i, t - 1 + 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 - 1 + 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 - 126 (5) (6)
2008 4 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,,,,2005 5 10,,,,,2007 5 11, QDII, ;2007 8 20,,,,, AH QDII AH 1. AH 2005 5 10,,, ( ),, A, A A,H,,A,A H,AH A,A,AH,,,, 2005 5 10 2007 12 31, 3163 4177,A (2007),227 AH,, 60 AH, 60 (6),, 51 AH, 31,,A H, H, 27 127
: A H 3 AH GMM Pr emium t - 1 ( b 1 ) Pr emium t 1 2 3 4 5 019925 019925 019924 019925 019925 [590140 ] 333 [590140 ] 333 [590148 ] 333 [589192 ] 333 [589189 ] 333 ( SO H ΠSO A + H ) ( b 2 ) 010766 010641 010616 010554 [2119 ] 33 [1186 ] 3 [1179 ] 3 [1153 ] 010538 [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 ) - 010075-010075 - 010075-010075 - 010075 [7148 ] 333 [7146 ] 333 [7146 ] 333 [7144 ] 333 [7144 ] 333-010168 - 010181-010182 - 010184-010184 [6140 ] 333 [6114 ] 333 [6119 ] 333 [6120 ] 333 [6124 ] 333-010161 - 010161-010162 - 010163-010163 [4158 ] 333 [4157 ] 333 [4157 ] 333 [4160 ] 333 [4160 ] 333 010259 010259 010259 010259 010259 [33120 ] 333 [33113 ] 333 [33112 ] 333 [33111 ] 333 [33111 ] 333-010369 - 010369-010369 - 010369-010369 [25158 ] 333 [25153 ] 333 [25153 ] 333 [25153 ] 333 [25153 ] 333-010001 - 010001-010001 - 010001-010001 [4127 ] 333 [4129 ] 333 [4127 ] 333 [3196 ] 333 [3196 ] 333 Per - holding ( b 9 ) 011364 [1104 ] 011378 [1105 ] 011494 [1115 ] 011501 [1115 ] Largest - holding ( b 10 ) 010001 [0149 ] 010001 [0134 ] Top - shares ( b 11 ) 3911644 [1149 ] 3812150 [1142 ] Constant ( b 0 ) 012077 012301 012286 012376 012363 [4158 ] 333 [4177 ] 333 [4167 ] 333 [4184 ] 333 [4173 ] 333 Observations 64381 64266 64266 64266 64266 : z ; 3 33 333 10 % 5 % 1 % 4 AH, A (6),,AH, AH 21QDII AH 2006 4 18,,,QDII, 2007 5 11, 128
2008 4 4 AH 60 60 t Πz (1) (2) (2) - (1) P 117279 116038 215277 33 010179 AH 113828 112453 215226 33 010116 117279 116038-011350 - 010384 (6) Z - 019900-011800 P 013240 018540 : t,wilcoxon ; 3 33 333 10 % 5 % 1 %, QDII, QDII, QDII,,QDII AH, H A,QDII AH 2007 8 20,,,,, H, H A,,, 2007 11 4,,,, QDII, QDII AH, 2007 5 11 2007 8 20 2007 11 4, 2007 5 11 60 2007 12 31 AH, (6),,QDII 51 AH,, 49 5,AH,,AH 2007 8 20,AH, AH (6),,QDII AH AH, 1,QDII H A,, QDII AH,, 129
: A H 5 QDII AH 20070511 20070512 20070821 20071105 60 20070819 20071103 20071231 t Πz (1) (2) (3) (4) (2) - (1) (3) - (2) (4) - (3) 118169 118327 119009 210206 015799 211744 33 312453 333 AH 115897 116180 117396 118077 017840 215237 33 217914 333 016440 015827 015453 016928 (6) 018624-012140 015339 016834 z 019700-012500 016000 015300 P 013320 018060 015480 015960 : t,wilcoxon ; 3 33 333 10 % 5 % 1 % 51 AH,1994 1 3 2007 12 31 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
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, 223 249. 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, 489 511. Bailey, W. and J. Jagtiani, 1994, Foreign Ownership Restrictions and Stock Prices in the Thai Capital Market, Journal of Financial Economics 36, 57 87. 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, 325 355. 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, 133 155. Domowitz, I. ; J. Glen ; and A. Madhavan, 1997, Market Segmentation and Stock Prices : Evidence from An Emerging Market, Journal of Finance 52, 1059 1086. Hietala, P., 1989, Asset Pricing in Partially Segmented Markets : Evidence from the Finnish Market, Journal of Finance 44, 697 718. Longstaff, Francis A., 1995, How Much can Marketability Affect Security Values? Journal of Finance 50, 1767 1774. Ma, X., 1996, Capital Controls, Market Segmentation and Stock Price : Evidence from the Chinese Stock Market, Pacific2Basin Finance Journal 4, 219 239. 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, 1019 1057. 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