双重上市公司股票价差趋势及其影响因素研究

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1、湖南大学硕士学位论文双重上市公司股票价差趋势及其影响因素研究姓名：喻欣欣申请学位级别：硕士专业：企业管理指导教师：谢赤20081026AbstractDual1istingreferstothelistingofthesamecompanyontwodifferentstockexchanges(0rthecomm0nst0ekeXchangeS)•Withthe■1ncreasingpaceofChinesecompanicstog0forovcrsca1•1standth0sc1stcdabroadtryt0“ctto

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5、tissuedboth•sharesinmain1andandH—sharesinHongKongandanalysesthetimeseriesofpricedifferentials・Afterabriefcomparisonoftimeseriesmodels,wefindthatARIMA(1,1,1)specificationsareadequate.Basedontheabovecon§i0/*1代ashorttime.Secondly,basedonthefourtheoriesabouttheupriced

6、ifferentia1s''whichwereoriginatedbytheWestrchaboutfactorsthalcouldcausethekets.Theempiricalernacademiccommunity,theauthordoesareseashowthatfactorsthatademanddifferenctricedifferenIia1sinChinesesIockmartudiesffectthepricedifferentialsincludeliquidity,andcr1Combredp

7、graifChiisthehypkiSningnnik1stoneseereaotheymmetry.HothehypotenomenoncktoconthepinstsinceMay2002,ththatowever,..hesis•Chineseinvestorispapcrargucsthatthcisystematishavepreferckinvestorssonwhythesystematicriskiscontrarytothsis.rrationalityoLast1y,theauthorproposess

8、uggestionsonimprovementofinformationasymmetry,guidingtheinvestorsinarationalway,accelerationoffinancialinnoyaiipninordertoenr1chthetrad1ngproductsandsoo