| Author: | 张穆涵 Zhang, Muhan |
| Title: | 投资者情绪、股价高估与额外同步 : 来自中国 A-H 股溢价的实证研究 Tou zi zhe qing xu, gu jia gao gu yu e wai tong bu : lai zi Zhongguo A-H gu yi jia de shi zheng yan jiu |
| Other Title: | Investor sentiment, overpricing and excessive synchronicity : evidence from the A-H share premium in China |
| Degree: | D.Mgt. |
| Year: | 2017 |
| Subject: | Hong Kong Polytechnic University -- Dissertations Stocks -- Prices -- China Stock companies -- China -- Finance |
| Department: | Faculty of Business |
| Pages: | 100 pages : illustrations some color |
| Language: | Chinese |
| Abstract: | 由于双重上市的股票对于相同公司的现金流具有完全相同的权利；因此，在控制股价基本面之后，两者股价的不同可以被解释为股价偏差。本文利用同时在A股和H股上市的中国内地企业数据，在现有的孪生股同股不同价的研究基础之上，从投资者情绪角度分析股价偏差的成因。同时，本文也利用政策创造的自然实验条件，探讨了套利限制的变化，对于投资者情绪影响股价偏差的调节作用。此外，股价偏差的同步性反映了股价偏离基本面的同步，即额外联动。本文也在政策信息发布到政策实施的窗口期，捕捉到了投资者情绪影响股价额外联动的证据；以及政策变化后，套利限制的变化对于两者关系的影响。我发现套利局限的降低将弱化投资者相对情绪对于股价偏差的影响；同时，当投资者相对情绪导致股价额外联动，市场分割的减少也将弱化两者的关系。 |
| Rights: | All rights reserved |
| Access: | restricted access |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 991022020029603411.pdf | For All Users (off-campus access for PolyU Staff & Students only) | 2.71 MB | Adobe PDF | View/Open |
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