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題名 A股與B股存在資訊不對稱嗎？資訊持有比例的探討
作者 顏彣全
Yen, Wen-Chuan
貢獻者 杜化宇
顏彣全
Yen, Wen-Chuan
關鍵詞 資訊不對稱
資訊持有比例法
價格發現
B股開放日
Information asymmetry
Information shares approach
price discovery
B-share deregulation
日期 2005
上傳時間 14-Sep-2009 09:00:25 (UTC+8)
摘要 資訊不對稱的問題在股市中一直是受關注的議題，一個完善的市場，理應不應當存在資訊不對稱的現象。中國大陸股市在政府宣布開放B股前，上海交易所與深圳交易所中的A股與B股市場屬於完全區隔的現象，國內投資人（多為散戶）只能在A股市場投資，國外投資人（多為金融機構）只能在B股市場投資，在此種制度底下，價格發現機能易受扭曲，資訊不對稱的問題是容易產生的。然而大陸宣布B股開放後，國內投資人可到B股市場投資，資訊不對稱的程度應逐漸變小，改善同家公司在A股與B股市場上市的股票同權不同值的現象。
     
      本文研究目的即在於探討A股市場與B股市場之間是否存在資訊不對稱問題。利用Hasbrouck（1995）提出的價格發現模型-資訊持有比例法（Information share method），計算何者在價格發現過程中佔有較多的資訊比例。研究對象為上海交易所及深圳交易所內同時有在A股市場與B股市場上市的公司每日股價收盤價。以B股宣告開放日2001年2月19日為中心，將樣本分為開放前與開放後兩階段。進一步在實證中應用Pascual, Pascual-Fuster, and Climent（2006）的研究發現。
     
      本研究實證結果：第一，B股開放前，不論加入成交量與否，B股市場皆為價格發現支配者。說明A股市場與B股市場間的確存在資訊不對稱現象。第二，B股開放後，A股市場為價格發現支配者，B股與H股市場為衛星市場。推論原因乃來自於2002年後B股市場幾乎停止新股掛牌；B股開放後B股流動性改善，外資以往賺取的溢價減少；人民幣升值議題，加入WTO全面開放資本市場的承諾等。
Information asymmetry is an important issue in the financial market. A perfect market should not exist this phenomenon. Before 2001, domestic investors could only buy A shares while foreign investors could only hold B shares. Under this regulation, the function of price discovery is easily distorted, and information asymmetry occurs easily. Shares with identical rights offered by one company would have different values while they are located in class A and class B. This problem, however, should be improved after the deregulation that domestic investors could buy B shares.
      The main purpose of this paper is to investigate whether information asymmetry exists between A-share and B-share markets. We use information shares approach (Hasbrouck, 1995) to calculate and compare which market has more information share in the price discovery process. The samples include all firms having stocks trading in A-shares and B-shares market on Shanghai Securities Exchange (SHSE) and the Shenzhen Stock Exchange (SZSE). The sample period, October 6, 1997 to October 31, 2005, is divided into two sub-sample periods. Moreover, the model provided by Pascual, Pascual-Fuster, and Climent (2006) is also implied into this paper.
      This paper concludes that (1) Before deregulating to allow domestic investors to hold B shares, B-share markets is a dominator in the price discovery process no matter considering trading volume or not. It means that A-share and B-share markets indeed exist information asymmetry. (2) After February 19, 2001, A-share markets become a dominator in the price discovery process while B-share and H- share markets become satellite markets. The possible explanations are that there are seldom companies listing in the B shares markets after 2002; the foreign investor gain less premium than before because of enhancing B-share’s liquidity; Renminbi appreciate and capital markets open completely in the end of 2006.
參考文獻 一、中文部分（按作者筆畫姓名排列）
1. 王萃強，大陸股市實戰226問，民國九十一年，商周出版。
2. 沈中華、陳建福， ”B股開放政策對中國大陸股票市場效率性有影響嗎？不對稱門檻共整合模型的應用”，財務金融學刊，民國九十二年十二月，第11期，89-119頁。
3. 卓莉雯， ”中國大陸開放境內人民投資B股對市場區隔與價格差異之影響”，中興大學財務金融研究所未出版碩士論文，民國九十三年。
4. 姜惠貞， ”中國大陸A、B股股市與香港H股股市市場整合性之研究”，國立台北商專學報，民國八十七年。
5. 葉銀華、陳韋均， ”市場區隔與股票異常報酬之研究-中國大陸A、B股市場”，財務金融學刊，民國九十年八月，第9期，39-65頁。
6. 葉銀華、李存修、潘建福， ”中國大陸股市之市場區隔與價格差異之研究”，證券市場發展季刊，民國九十一年，第14期，45-78頁。
7. 陳金鑾， ”兩岸三地證券交易制度比較之研究”，中原大學會計研究所未出版碩士論文，民國九十二年。
8. 黃志鴻， ”兩岸證券市場制度之比較研究”，成功大學會計研究所未出版碩士論文，民國九十一年。
9. 黃昱超， ”一般期貨、小型期貨與現貨市場價格發現過程與資訊傳遞現象研究－以臺灣股價指數市場為例”，淡江大學財務金融研究所未出版碩士論文，民國九十三年。
10. 楊奕農，時間序列分析-經濟與財務上之應用，民國九十四年，雙葉書廊有限公司出版。
11. 劉宗盛、歐宏杰，人民幣理財聖經，民國九十四年，平安文化有限公司出版。
12. 謝欽俊，黃月妙，梁美珠，楊麗貞，章友韾，孫嘉臨，”大陸證券市場發展現況報告”，證交資料，民國九十一年。
13. 歐宏杰、姚志華、賴朝隆、劉宗聖，香港證券市場投資實務聖經，民國九十二年，育智圖書股份有限公司出版。
14. “2004年世界主要證券市場相關制度-中國”，證券交易所編彙。
二、英文部分（按作者姓氏字母排列）
15. Ahlgren, N., Sjöö, B., and Zhang, J. (2003) “Market segmentation and information diffusion in china’s stock markets: panel data unit root and cointegration tests on A and B share prices”, Working paper.
16. Bailey, W. (1994) “Risk and return on China’s new stock markets: some preliminary evidence”, Pacific-Basin Finance Journal, Vol.2, P243–60.
17. Booth, G. G., So, R. W., and Tse, Y. (1999) “Price discovery in the German equity index derivatives markets”, Journal of Futures Markets, Vol.19, P619-643.
18. Baillie, R. T., Booth, G. G., and Tse, Y. (2002) “Price discovery and common factor models”, Journal of Financial Markets, Vol.5, P309-321.
19. Brooks, R. D., and Ragunathan, V. (2003) “Returns and volatility on the China stock market”, Applied Financial Economics, Vol.13, P747-752.
20. Chui, A.C. W., and Kwok, C. C. Y. (1998) “Cross-autocorrelation between A shares and B shares in the Chinese stock market”, The Journal of Financial Research, Vol.21, P333–53.
21. Covrig, V., Ding, D.K., and Low, B. S. (2004) “The Contribution of a Satellite
Market To Price Discovery：Evidence From The Singapore Exchange”, The
Journal of Futures Markets, Vol.24, P981-1004.
22. Chan, K., Menkveld A. J., and Yang, Z. (2004) “Are domestic investors more informed than foreign investors? Evidence the perfectly Segmented market in China”, Working paper.
23. De Jong, F. (2002) “Measure of contributions to price discovery: A comparison”, Journal of Financial Markets, Vol.5, P323-327.
24. Gramming, J., Melvin M., and Schlag, C. (2001) “Price discovery in international equity trading”, Working Paper, University of Frankfurt.
25. Hasbrouck, J. (1995) “One security, many markets: Determining the contributions to price discovery”, Journal of Finance, Vol.50, P1175-1199.
26. Harris, F. H., McInish, T. H., and Wood, R. A. (2002) “Security price adjustment across exchanges：an investigation of common factor components for Dow stocks”, Journal of Financial Markets, Vol.5, P277-308.
27. He, Y., Wu, C., and Chen, Y. M. (2003) “An explanation of the volatility disparity between the domestic and foreign shares in the Chinese stock markets”, International Review of Economics and Finance, Vol.12, P171-186.
28. Kurov, A., and Lasser, D. J. (2004) “ Price dynamics in the regular and e-mini futures markets”, Journal of Financial and Quantitative Analysis, Vol.39, P365-384.
29. Kwiatkowski, D., Philiips, P.C.B., Schmidt, P., and Shin, Y. (1992) “Testing the null hypothesis of stationarity against the alternative of a unit root”, Journal of Econometrics, Vol.54, P159-178.
30. Laurence, M., Cai, F., and Qian, S. (1997) “Weak-form Efficiency and Causality Tests in Chinese Stock Markets”, Multinational Finance Journal, Vol.1, P291-307.
31. Luo, B., Sun, L., and Mweene, R. (2005) “The evolvement and relevant factors of price discovery: A case study of cross-listed stocks in China”, Exert Systems with Applications, Vol.29, P463-471.
32. Lin, T. (2005) “Empirical Analysis of the Speed of Adjustment to Information-Evidence from Chinese Stock Market”, PhD dissertation, Drexel University.
33. Ma, X. (1996) “Capital Controls, Market Segmentation and Stock Prices: Evidence from the Chinese Stock Market”, The Pacific-Basin Finance Journal, Vol. 4, P219-239.
34. Mei, J., Scheinkman, J. A., and Xiong W. (2004) “Speculative Trading and Stock Price : An Analysis of Chinese A-B share Premia”, Working Paper, Princeton University.
35. Pascual, R., Pascual-Fuster, B. and Climent, F. (2006) “Cross-listing, price discovery and the informativeness of the trading processs”, Journal of Financial Markets, Vol. 9, P144-161.
36. Roope, M., and Zurbruegg, R. (2002) “The intra-day price discovery process between the Singapore Exchange and Taiwan Futures Exchange”, Journal of Futures Markets, Vol.22, P219-240.
37. Raymond, W. So, and Tse, Y. (2004) “Price discovery in the Hang Seng index markets: Index, futures, and the tracker fund”, Journal of Futures Markets, Vol.24, P887-907.
38. Shang, J., and O’Brien, T. (1997) “China’s equity markets：An analysis of same
company A-share and B-share prices,1993-1996”, 1997 Ninth Annual PACAP
Finance Conference, Shanghai, PRC.
39. Su, D., and Fleisher, B. (1998) “Risk, return and regulation in Chinese stock markets”, Journal of Economics and Business, Vol.50, P239–256.
40. Su, D., and Fleisher, B. (1999) “Why does return volatility differ in Chinese stock markets?”, Pacific-Basin Finance Journal, Vol.7, P557–86.
41. Sjöö, B., and Zhang, J. (2000) “Market segmentation and information diffusion in china’s stock markets”, Journal of Multinational Financial Management, Vol.10, P421-438.
42. Steeley, C. P., and Qian, W. (2005) “Testing for market segmentation in the A and B share markets of China”, Applied Financial Economics, Vol.15, P791-802.
43. Tse, Y. (2000) “Further examination of price discovery on the NYSE and regional exchanges”, Journal of Financial Research, Vol.23, P331-351.
44. Tse, Y., and Erenburg, G. (2003) “Competition for order flow, market quality and price discovery in the Nasdaq 100 index tracking stock”, Journal of Financial Reseach, Vol.26, P301-318.
45. Tse, Y., and Xiang, J. (2005) “Market quality and price discovery：Introduction of the E-mini energy futures”, Global Finance Journal, Vol.16, P164-179.
46. Yu, W. (1996) “A conditional variance model for daily stock returns in China’s emerging stock markets: empirical evidence on the Shanghai and Shenzhen exchanges”, Journal of International Financial Markets, Institutions and Money, Vol.6, P1–19.
47. Yeh, Y. H., Lee, T. S., and Pen, J. F. (2002) “Stock Returns and Volatility under Market Segmentation：The Case of Chinese A and B shares”, Review of Quantitative Finance and Accounting, Vol.8, P239-257.
48. He, Y., Wu, C., and Chen, Yea-Mow (2003) “An explanation of the volatility disparity between the domestic and foreign shares in the Chinese stock markets”, International Review of Economics and Finance, Vol.12, P171-186.
三、參考網站
49. 上海證券交易所。
50. 深圳證券交易所。
51. 中華財經網。
52. 中國證券監督管理委員。
53. 中國證券登記結算公司。
描述 碩士
國立政治大學
財務管理研究所
93357030
94
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0093357030
資料類型 thesis
dc.contributor.advisor 杜化宇zh_TW
dc.contributor.author (Authors) 顏彣全zh_TW
dc.contributor.author (Authors) Yen, Wen-Chuanen_US
dc.creator (作者) 顏彣全zh_TW
dc.creator (作者) Yen, Wen-Chuanen_US
dc.date (日期) 2005en_US
dc.date.accessioned 14-Sep-2009 09:00:25 (UTC+8)-
dc.date.available 14-Sep-2009 09:00:25 (UTC+8)-
dc.date.issued (上傳時間) 14-Sep-2009 09:00:25 (UTC+8)-
dc.identifier (Other Identifiers) G0093357030en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/30984-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 93357030zh_TW
dc.description (描述) 94zh_TW
dc.description.abstract (摘要) 資訊不對稱的問題在股市中一直是受關注的議題，一個完善的市場，理應不應當存在資訊不對稱的現象。中國大陸股市在政府宣布開放B股前，上海交易所與深圳交易所中的A股與B股市場屬於完全區隔的現象，國內投資人（多為散戶）只能在A股市場投資，國外投資人（多為金融機構）只能在B股市場投資，在此種制度底下，價格發現機能易受扭曲，資訊不對稱的問題是容易產生的。然而大陸宣布B股開放後，國內投資人可到B股市場投資，資訊不對稱的程度應逐漸變小，改善同家公司在A股與B股市場上市的股票同權不同值的現象。
     
      本文研究目的即在於探討A股市場與B股市場之間是否存在資訊不對稱問題。利用Hasbrouck（1995）提出的價格發現模型-資訊持有比例法（Information share method），計算何者在價格發現過程中佔有較多的資訊比例。研究對象為上海交易所及深圳交易所內同時有在A股市場與B股市場上市的公司每日股價收盤價。以B股宣告開放日2001年2月19日為中心，將樣本分為開放前與開放後兩階段。進一步在實證中應用Pascual, Pascual-Fuster, and Climent（2006）的研究發現。
     
      本研究實證結果：第一，B股開放前，不論加入成交量與否，B股市場皆為價格發現支配者。說明A股市場與B股市場間的確存在資訊不對稱現象。第二，B股開放後，A股市場為價格發現支配者，B股與H股市場為衛星市場。推論原因乃來自於2002年後B股市場幾乎停止新股掛牌；B股開放後B股流動性改善，外資以往賺取的溢價減少；人民幣升值議題，加入WTO全面開放資本市場的承諾等。		zh_TW
dc.description.abstract (摘要) Information asymmetry is an important issue in the financial market. A perfect market should not exist this phenomenon. Before 2001, domestic investors could only buy A shares while foreign investors could only hold B shares. Under this regulation, the function of price discovery is easily distorted, and information asymmetry occurs easily. Shares with identical rights offered by one company would have different values while they are located in class A and class B. This problem, however, should be improved after the deregulation that domestic investors could buy B shares.
      The main purpose of this paper is to investigate whether information asymmetry exists between A-share and B-share markets. We use information shares approach (Hasbrouck, 1995) to calculate and compare which market has more information share in the price discovery process. The samples include all firms having stocks trading in A-shares and B-shares market on Shanghai Securities Exchange (SHSE) and the Shenzhen Stock Exchange (SZSE). The sample period, October 6, 1997 to October 31, 2005, is divided into two sub-sample periods. Moreover, the model provided by Pascual, Pascual-Fuster, and Climent (2006) is also implied into this paper.
      This paper concludes that (1) Before deregulating to allow domestic investors to hold B shares, B-share markets is a dominator in the price discovery process no matter considering trading volume or not. It means that A-share and B-share markets indeed exist information asymmetry. (2) After February 19, 2001, A-share markets become a dominator in the price discovery process while B-share and H- share markets become satellite markets. The possible explanations are that there are seldom companies listing in the B shares markets after 2002; the foreign investor gain less premium than before because of enhancing B-share’s liquidity; Renminbi appreciate and capital markets open completely in the end of 2006.		en_US
dc.description.tableofcontents 目錄
     第壹章 緒論................................................... 1
     第一節 研究動機............................................................................................................. 1
     第二節 研究目的............................................................................................................. 3
     第三節 研究架構............................................................................................................. 5
     第貳章 文獻探討............................................... 6
     第一節 大陸股市簡介......................................................................................................... 6
     第二節 文獻回顧............................................................................................................... 17
     第參章 研究方法.............................................. 32
     第一節 單根檢定........................................................................................................... 34
     第二節 共整合與共整合檢定....................................................................................... 35
     第三節 誤差修正模型................................................................................................... 38
     第四節 價格發現模型................................................................................................... 40
     第肆章 實證分析.............................................. 45
     第一節 資料收集與處理................................................................................................... 45
     第二節 實證結果............................................................................................................. 47
     一. 單根檢定................................................................................................................... 47
     二. 最適落後期選取....................................................................................................... 48
     三. 共整合檢定............................................................................................................... 49
     四. 價格發現................................................................................................................... 55
     五.A 股、H 股市場........................................................................................................ 64
     六. 衝擊反應函數........................................................................................................... 66
     第伍章 結論與建議............................................ 69
     第一節 研究結論............................................................................................................... 69
     第二節 後續研究建議....................................................................................................... 70
     參考文獻..................................................... 71
     一、中文部分（按作者筆畫姓名排列）......................................................................... 71
     二、英文部分（按作者姓氏字母排列）......................................................................... 72
     三、參考網站..................................................................................................................... 74
     表目錄
     【表2.1】A、B 股上市相關規定......................................................................................... 13
     【表2.2】A、B 股交易制度之差異比較............................................................................. 14
     【表4.1.1】單根檢定結果-ADF........................................................................................... 47
     【表4.1.2】單根檢定結果-KPSS ......................................................................................... 48
     【表4.2】全期間共整合家數-LN（收盤價） ..................................................................... 49
     【表4.3】B 股開放前，上海交易所A、B 股LN（收盤價）共整合檢定-共8 家......... 51
     【表4.4】B 股開放後，上海交易所A、B 股LN（收盤價）共整合檢定-共26 家....... 51
     【表4.5】B 股開放前，深圳交易所A、B 股LN（收盤價）共整合檢定-共12 家....... 53
     【表4.6】B 股開放後，深圳交易所A、B 股LN（收盤價）共整合檢定-共22 家....... 53
     【表4.7】上海交易所B 股開放前後之價格發現-資訊持有比例..................................... 59
     【表4.8】深圳交易所B 股開放前後之價格發現-資訊持有比例..................................... 60
     【表4.9】資訊持有比例法—平均價格發現比較表........................................................... 61
     【表4.10】上海交易所B 股開放前之價格發現(包含LN（交易量）)-資訊持有比例... 61
     【表4.11】深圳交易所B 股開放前之價格發現(包含LN（交易量）)-資訊持有比例... 62
     【表4.12】資訊持有比例法—平均價格發現（包含LN（交易量））比較表................ 63
     【表4.13】B 股開放後A、H 股之價格發現-資訊持有比例............................................ 64
     【表4.14】資訊持有比例法—開放後香港與中國股市平均價格發現比較表................. 65
     【附表1】上海交易所開放前後A、B 股市場殘差相關係數表....................................... 75
     【附表2】深圳交易所開放前後A、B 股市場殘差相關係數表....................................... 76
     【附表3】上海交易所B 股開放後A、B 股開戶增加數.................................................. 77
     【附表4】深圳交易所B 股開放後A、B 股開戶增加數.................................................. 77
     圖目錄
     【圖1.1】論文架構流程......................................................................................................... 5
     【圖2.1】上海交易所1997 年至2005 年市價總值比較圖................................................. 9
     【圖2.2】深圳交易所1997 年至2005 年市價總值比較圖................................................. 9
     【圖2.3】上海交易所1997 年至2005 年總成交量比較圖............................................... 10
     【圖2.4】深圳交易所1997 年至2005 年總成交量比較圖............................................... 10
     【圖2.5】上海交易所1997.1.2 至2005.10.31 股價指數趨勢........................................... 11
     【圖2.6】深圳交易所1997.1.2 至2005.10.31 股價指數趨勢........................................... 12
     【圖4.1】上海交易所B 股開放前後衝擊反應函數圖....................................................... 67
     【圖4.2】深圳交易所B 股開放前後衝擊反應函數圖....................................................... 68		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0093357030en_US
dc.subject (關鍵詞) 資訊不對稱zh_TW
dc.subject (關鍵詞) 資訊持有比例法zh_TW
dc.subject (關鍵詞) 價格發現zh_TW
dc.subject (關鍵詞) B股開放日zh_TW
dc.subject (關鍵詞) Information asymmetryen_US
dc.subject (關鍵詞) Information shares approachen_US
dc.subject (關鍵詞) price discoveryen_US
dc.subject (關鍵詞) B-share deregulationen_US
dc.title (題名) A股與B股存在資訊不對稱嗎？資訊持有比例的探討zh_TW
dc.type (資料類型) thesisen
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