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论文编号：	8393
作者编号：	2120142470
上传时间：	2016/6/9 9:51:07
中文题目：	交叉上市、股价信息含量与公司投资水平——基于中国AH公司的实证研究
英文题目：	Cross-listing, Stock Price Informativeness and Investment Level——Based on China’s AH Cross-listing Companies
指导老师：	覃家琦
中文关键字：	交叉上市；股价信息含量；投资水平；股价波动非同步性
英文关键字：	Cross-listings; stock price informativeness; investment decision; stock price non-synchronicity
中文摘要：	交叉上市作为打破资本市场分割的一种重要方式，受到越来越多企业的青睐，也受到国内外众多学者的关注，目前与交叉上市动机和经济后果相关的理论主要有市场分割假说、流动性假说、投资者认知假说及绑定假说。大多数学者认为，在成熟资本市场交叉上市可以提高股价信息含量，而股价信息含量的提高可以缓解公司面临的融资约束，增加公司价值，进而减少投资不足，提高公司的投资水平。但是，中国资本市场具有相对特殊的政策环境，国外研究是否适用于中国交叉上市公司还有待验证，股价信息含量对公司投资行为的影响也需进一步分析。 本文基于托宾q理论、融资约束理论及其他已有研究对中国企业交叉上市、股价信息含量及投资水平三者间的关系进行了理论分析，并以2008年前实现AH交叉上市的公司和只在A股上市的公司为对象，采用2008-2014年的平衡面板数据，用股价波动非同步性测度股价信息含量，对假设进行实证检验。结果表明中国上市公司投资水平与股价信息含量显著正相关，在H股市场交叉上市减少了股票价格中所包含的公司特质信息，也使公司降低了投资水平，交叉上市对公司投资水平与股价信息含量正相关关系的负向作用受模型中变量度量方式的影响，并不稳定。在分析交叉上市与股价信息含量间的关系时，本文采用倾向性得分匹配方法（PSM）对交叉上市参与的内生性问题进行处理。分析结果表明，考虑交叉上市参与的内生性后，交叉上市仍然会减少股价信息含量。最后基于分析所得结论向证券市场监管部门、公司管理者及投资者提出可行建议。
英文摘要：	As an important way of breaking the capital market segmentation, cross-listings have gain popularity from enterprises and increasing attention from scholars around the world. There exist many theories associated with cross-listing such as market segmentation hypothesis, liquidity hypothesis, investor recognition hypothesis, bonding hypothesis and so forth. Many scholars believe that a cross-listing in developed market will enhance the stock price informativeness. The improvement of stock price informativeness can alleviate financing constraints which the firm is confronted with, and increase the market valuation of the company at the same time. Therefore, higher stock price informativeness could reduce insufficient investment, makes managers expand investments. However, China's capital market has its relatively special policy environment, whether existing hypothesis set up for China's cross-listing enterprises remains to be verified, the influence of stock price informativeness on managers' investment decision-making also needs further analysis. Based on the Tobin q theory, financing constraints theory and other existing research, we make some theoretical analysis focusing on the relationship between cross-listing, stock price informativeness and investment level. Then we employ stock price non-synchronicity to measure stock price informativeness, and process an empirical analysis using balanced panel data from 2008 to 2014. The sample consists of companies which accomplished cross listing in A-share market and H-share market before 2008. Our analysis showed that company's investment level is in significantly positive correlation with its stock price informativeness, a cross-listing in H-share market reduces the firm-specific information contained in its stock price and the firm’s investment level rather than enhance that, in addition, there is no stable correlation between cross-listing and the sensitivity of investment to stock price informativeness. When investigate the relationship between cross-listings and stock price informativeness, we use Propensity Score Match (PSM) to deal with the endogenous problem of cross-listing. It turns out that a cross-listing still bring about negative impact on stock price informativeness after taking endogenous problem into consideration. In the end, we come up with several feasible proposal to managers, the market regulators and investors.
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