多重上市股价异常效应的影响因素——来自中国A、B股证券市场的证据

实证检验了多重上市的股价异常效应及其影响因素。结果表明,多重上市的股价异常效应并非市场过度反应的结果,而与A、B股的市场分割、发行价格与原股票价格的差异、上市前后流动性的变化紧密联系。另外,A股市场多重上市的股价异常效应主要表现在招股公告前,B股市场多重上市的股价异常效应则主要表现在招股公告后。从股东构成、时间因素、散户投资者的损失厌恶心理方面探讨了以上不对称反应模式的原因。

Multifactor Explanation of Abnormal Price Behavior Around Cross-listing——Evidences from Chinese A-and B-Shares Market

This paper empirically tests stock price abnormal behavior around cross-listing.And we show that these unusual price changes aren't result of market overreaction.They are related to the market segmentation of Chinese A-and B-share markets,the price difference between newly cross-listing shares and listing shares and to the liquidity change during cross-listing.The unusual price changes around cross-listing of A shares mainly display before listing announcement.On the contrary,the price abnormal behavior around cross-listing of B shares mainly display after listing announcement.We think different stockholder structure,listing time difference between A-and B-shares and loss aversion of retail investors may account for the asymmetric pattern.