B股向境内居民开放后中国A,B股价差问题

建立了B股市场向境内居民开放后的资产均衡定价模型,并从信息传递、风险补偿、流动性、风险态度和需求弹性差异角度,运用多元逐步回归的方法,对2001-2003年间的数据进行实证检验,得到与模型分析一致的结论:B股对境内居民开放以后,双重上市公司A,B股价格仍然存在差异主要是由于风险态度差异和需求弹性差异两方面因素决定的,价差的消除可通过改变境内居民投资者的风险态度和扩大B股的有效需求来实现.

On the Stock Price Discrepancy Between Chinese A and B Shares After B Share Opened to Domestic Investors

Develops an asset-equilibrium pricing model for Chinese A and B shares on stock market after B shares have been opened to domestic investors. Verifies all the stock market data from 2001 to 2003 by way of multicomponent stepwise regression in view of the message passing, compensation for risk, flowability, risk attitude and flexible discrepancy between demand and supply. A conclusion in line with the model developed is thus drawn that after opening B shares to domestic investors the stock price discrepancies between A and B shares of dual-share listed companies are mainly caused by the discrepancy between different risk attitudes and the flexible discrepancy between demand and supply. Such a stock price discrepancy can be eliminated if changing the risk attitude the domestic investors to behave and enlarging the effective demand for B shares.