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提高B股市场有效性,解决A、B股市场分割是当前我国资本市场发展的重要问题,也是B股市场改革的合理取向。本文利用相对转移模型log t检验研究交叉上市公司A股和B股价差的动态变化,定量的研究A、B股市场一体化水平的动态变化,并利用价差服从广义Pareto分布(Generalized Pareto Distribution,GPD)的VaR模型构造无套利区间,设计了促进市场一体化的交易策略。研究发现A股和B股价格收敛的交叉上市公司数量较少且收敛关系不稳定,A、B股市场一体化程度并未持续提高;交叉上市公司A、B股之间的配对交易或单边交易可以促进价格收敛从而提高一体化程度。本文为B股市场的改革和发展提供了参考方案。
Improve the effectiveness of the B-share market, and solve the market segmentation of the A and B shares is an important issue for the development of China’s capital market. It is also a reasonable direction for the reform of the B-share market. In this paper, we use the log-t test of relative transfer model to study the dynamic changes of the price difference between A shares and B shares of cross-listed companies, and quantitatively study the dynamic changes of the integration of A and B shares markets. By using the spread of generalized Pareto Distribution (GPD) ) VaR model structure no arbitrage interval, designed to promote the integration of the market trading strategy. It is found that the number of cross-listed companies with A-share and B-share price convergence is relatively small and the convergence relationship is not stable. The market integration of A and B shares has not continued to increase. Matching transactions between A and B shares of cross-listed companies or unilateral Trading can promote price convergence and thus increase the degree of integration. This article provides a reference plan for the reform and development of the B-share market.