沪港通缩小了A-H股价差异吗？--来自沪港通成交活跃股的证据

摘要

沪港通以后，A股的估值水平总体上升，但改变了过去A股对H股长期溢价或者折价的状态，在一定程度上提高了市场在定价方面的有效性。以56家成交活跃的A+H公司为研究对象，基于横截面数据实证分析，结果表明沪港通活跃程度越高，A-H股价差异越小。为了进一步缩小A-H股价差异，应放开沪港通准入门槛、改革交易制度、降低交易成本等。%Shanghai-Hong Kong Stock Connect has changed the bygone state of long-term premium or discount of A-H stock , and to some extent has improved the market efficiency in terms of pricing. Taking 56 active A+H companies as research objects , the empirical analysis results based on cross-section data indicate , that the price variance of A-H stock is in inverse relation to the active degree of Shanghai-Hong Kong Stock Connect. In order to further narrow the price variance of A-H stock , some measures should be taken , such as lowering the barriers to enter Shanghai -Hong Kong Stock Connect , reforming the trading system and reducing transaction costs.