1、外文题目FOREIGNOWNERSHIPRESTRICTIONSANDMARKETSEGMENTATIONINCHINASSTOCKMARKETS出处JOURNALOFFINANCIALRESEARCH作者CHENGM,LEEBONGSOO,RUIOLIVER原文ABSTRACTWESTUDYMARKETSEGMENTATIONINCHINASSTOCKMARKETS,INWHICHLOCALFIRMSISSUETWOCLASSESOFSHARESCLASSASHARESAVAILABLEONLYTOCHINESECITIZENSANDCLASSBSHARESAVAILABLEONLYTOFO
2、REIGNCITIZENSSIGNIFICANTSTOCKPRICEDISCOUNTSAREDOCUMENTEDFORCLASSBSHARESWEFINDTHATTHEPRICEDIFFERENCEISPRIMARILYDUETOILLIQUIDBSHAREMARKETSRELATIVELYILLIQUIDBSHARESTOCKSHAVEAHIGHEREXPECTEDRETURNANDAREPRICEDLOWERTOCOMPENSATEINVESTORSFORINCREASEDTRADINGCOSTSHOWEVER,BETWEENTHETWOCLASSESOFSHARES,BSHAREPRIC
3、ESTENDTOMOVEMORECLOSELYWITHMARKETFUNDAMENTALSTHANDOASHAREPRICESTHEREFORE,WEFINDASHAREPREMIUMSRATHERTHANBSHAREDISCOUNTSINCHINASMARKETSIINTRODUCTIONWEEXAMINETHEEFFECTOFFOREIGNERSOWNERSHIPRESTRICTIONSONEQUITYPRICESINCHINARECENTLY,THEFINANCELITERATUREDOCUMENTSTHAT,WITHFOREIGNOWNERSHIPRESTRICTIONS,ACLASS
4、OFSHARESOPENTOFOREIGNERSTENDSTOCOMMANDHIGHERPRICESTHANTHOSEOPENTODOMESTICINVESTORSEG,STULZANDWASSERFALLEN1995,DOMOWITZ,GLEN,ANDMADHAVAN1997ANEXCEPTIONISSTOCKSINCHINA,WHICHHAVERECEIVEDRELATIVELYLITTLEATTENTIONUNTILRECENTLYHIETALA1989REPORTSASUBSTANTIALPREMIUMFORTHEFOREIGNSHAREPRICEFORTHEFINNISHSTOCKM
5、ARKETFOR198485HEDERIVESEQUILIBRIUMRETURNSWHENDOMESTICINVESTORSAREALLOWEDTOHOLDONLYDOMESTICSTOCKSRESTRICTEDFINNISHANDUNRESTRICTEDFINNISHSTOCKSANDFOREIGNINVESTORSAREALLOWEDTOHOLDALLSTOCKSFOREIGNSTOCKSANDUNRESTRICTEDFINNISHSTOCKSHESHOWSTHATINTHISMARKETSETTINGDOMESTICINVESTORSMAYPAYLESSTHANFOREIGNINVEST
6、ORSFORDOMESTICSTOCKSBAILEYANDJAGTIANI1994STUDYTHEEFFECTSOFCAPITALCONTROLSUSINGDATAFROMTHAILAND,WHICHSEGMENTLOCALANDFOREIGNTRADINGOFSECURITIESTHATHAVEREACHEDFOREIGNOWNERSHIPLIMITSTHEYFINDTHATANAVERAGEPREMIUMOF19PERCENTEXISTSONTHEALIENBOARDOFTHESTOCKEXCHANGEOFTHAILANDANDTHATCROSSSECTIONALDIFFERENCESBE
7、TWEENLOCALANDFOREIGNPRICESARECORRELATEDWITHPROXIESFORTHESEVERITYOFFOREIGNOWNERSHIPLIMITS,LIQUIDITY,ANDINFORMATIONAVAILABILITYSTULZANDWASSERFALLEN1995FINDFOREIGNINVESTORSPAYHIGHERPRICESFORSHARESTHANDOMESTICINVESTORSDOFORASAMPLEOFNINETEENFIRMSLISTEDINSWITZERLANDDOMOWITZ,GLEN,ANDMADHAVAN1997DOCUMENTSIG
8、NIFICANTSTOCKPRICEPREMIUMSFORBSERIESSHARESINMEXICO,WHICHARENOTRESTRICTEDTOAPARTICULARINVESTORGROUP,ANDEXAMINETHERELATIONBETWEENSTOCKPRICESANDMARKETSEGMENTATIONINDUCEDBYOWNERSHIPRESTRICTIONSSINCETHEESTABLISHMENTOFTHESHANGHAISTOCKEXCHANGESHSEONDECEMBER19,1990,ANDTHESHENZHENSTOCKEXCHANGESZSEONJULY3,199
9、1,CHINASSTOCKMARKETSHAVEEXPANDEDRAPIDLYSOMEFIRMSISSUETWOTYPESOFSHARESCLASSASHARES,WHICHAREDENOMINATEDINRMB,ARETRADEDAMONGCHINESECITIZENS,ANDCLASSBSHARESARETRADEDAMONGNONCHINESECITIZENSOROVERSEASCHINESEOTHERTHANSEGMENTATIONBYOWNERSHIP,THESETWOCLASSESOFSHARESARESIMILARINPARTICULAR,OWNERSHAVEEQUALRIGHT
10、STOCASHFLOWSANDVOTINGPRIVILEGESUNLIKEOTHERCOUNTRIES,THEREEXISTSALARGEPRICEDISCOUNTFORBSHARESFOREIGNSHARESRELATIVETOTHEASHARESDOMESTICSHARESBAILEY1994ANALYZESEIGHTCHINESEBSHARESTOCKSFROMMARCH1992THROUGHMARCH1993HEFINDSASIGNIFICANTDISCOUNTINBSHAREPRICESRELATIVETOASHAREPRICESOFTHESEEIGHTSTOCKSINOURSAMP
11、LEOFSIXTYEIGHTFIRMSISSUINGBOTHASHAREANDBSHARESTOCKS,THEAVERAGEBSHAREDISCOUNTONTHESHSEISABOUT662PERCENTANDTHATONTHESZSEISABOUT524PERCENTFROM1992TO1997GIVENSUBSTANTIALPRICEDIFFERENCESBETWEENTHETWOCLASSESOFSHARES,WEADDRESSTWOISSUESFIRST,WETRYTOIDENTIFYFACTORSTHATAFFECTLARGEDISCOUNTSINBSHARESSECOND,BETW
12、EENTHETWOCLASSESOFSHARES,WETRYTOFIGUREOUTWHICHONEMIMICSCHINASMARKETFUNDAMENTALVALUESMORECLOSELYINOTHERWORDS,IFTHEFOREIGNOWNERSHIPRESTRICTIONISLIFTED,WEWISHTOKNOWWHICHSHAREPRICESWILLMOVECLOSERTOTHENEWMARKETPRICESTOADDRESSTHEFIRSTISSUE,WECONSIDERFOURPOTENTIALEXPLANATIONSABOUTTHESOURCESOFTHEDIFFERENTIA
13、LPRICESTHEASYMMETRICINFORMATIONHYPOTHESIS,THEDIFFERENTIALDEMANDHYPOTHESIS,THELIQUIDITYHYPOTHESIS,ANDTHEDIFFERENTIALRISKHYPOTHESISALTHOUGHTHESEHYPOTHESESMAYEXPLAINTHEPRICEDIFFERENCESBETWEENTHETWOCLASSESOFSHARES,THEYARENOTNECESSARILYCOMPLEMENTARYANDTHEYYIELDDIFFERENTEMPIRICALPREDICTIONSWECHARACTERIZEE
14、ACHHYPOTHESISBYITSEMPIRICALIMPLICATIONSANDEXAMINEEMPIRICALEVIDENCEONEACHHYPOTHESISUSINGAPANELDATAANALYSISTOADDRESSTHESECONDISSUE,WEEXAMINEAMODELOFDYNAMICRELATIONBETWEENFUTURECASHFLOWSANDTHETWOCLASSESOFSHAREPRICESRETURNSTHATTELLSUSTHERELATIVEWEIGHTOFEACHCLASSSHAREPRICEFORGIVENMARKETFUNDAMENTALSOVERAL
15、L,WEFINDTHATTHESUBSTANTIALDISCOUNTSINCLASSBSHARESAREPRIMARILYDUETOILLIQUIDBSHAREMARKETSRELATIVELYILLIQUIDBSHARESHAVEAHIGHEREXPECTEDRETURNANDAREPRICEDLOWERTOCOMPENSATEINVESTORSFORINCREASEDTRADINGCOSTSHOWEVER,BETWEENTHETWOCLASSESOFSHARES,WEFINDTHATBSHAREPRICESTENDTOMOVEMORECLOSELYWITHMARKETFUNDAMENTAL
16、STHISSUGGESTSASHAREPREMIUMSRATHERTHANBSHAREDISCOUNTSIIINTRODUCTIONOFCHINASSTOCKEXCHANGESANDSAMPLEDATATHEEMERGENCEOFCHINASCAPITALMARKETSBEGANWITHISSUANCEOFSTATETREASURYBONDSIN1981ANDSTATEENTERPRISESCORPORATEBONDSTOEMPLOYEESIN1984SOMESTATEENTERPRISESWEREALSOALLOWEDTOISSUESTOCKSTOTHEIREMPLOYEESTHECAPIT
17、ALMARKETSWERENOTWELLSHAPEDUNTILTHEFORMALESTABLISHMENTOFTHESHSEONDECEMBER19,1990,ANDTHESZSEONJULY3,1991IN1992,CHINAALLOWEDSOMECOMPANIESTOISSUEASPECIALTYPEOFSTOCK,BSHARES,FORTRADINGBYFOREIGNINVESTORSTHETWOBSHAREMARKETSSHSE,WHEREBSHARESAREDENOMINATEDINUSDOLLARS,ANDSZSE,WHEREBSHARESAREDENOMINATEDINHKDOL
18、LARSWEREESTABLISHEDTOENOURAGEFOREIGNPARTICIPATIANINTHEMAINLANDSDOUBLEDIGITECONOMICGROWTHALTHOUGHTECHNICALLYPROHIBITEDFROMTRADINGBSHARES,DOMESTICPARTICIPANTSHAVEBEENALLOWEDTOTRADEBSHARESUNDERCERTAINCONDITIONSCHINASSTOCKMARKETSHAVEEXPANDEDRAPIDLY,ASSHOWNINTABLE1THENUMBEROFASHARELISTEDFIRMSHASINCREASED
19、FROM53IN1992TO720IN1997,OFWHICH372TRADEDONTHESHSEAND348TRADEDONTHESZSETHENUMBEROFBSHARELISTEDFIRMSHASINCREASEDFROM14IN1992TO101IN1997,OFWHICH50TRADEDONTHESHSEAND51TRADEDONTHESZSETHETOTALMARKETCAPITALIZATIONHASINCREASEDMORETHANSEVENTEENTIMESSINCE1992THEAVERAGETRADINGVOLUMEOFASHARESHASINCREASEDBYFIFTY
20、TIMESONTHESHSEANDBYTWENTYFIVETIMESONTHESZSEHOWEVER,THEAVERAGETRADINGVOLUMEOFBSHARESHASNOTINCREASEDSIGNIFICANTLYONTHESHSECOMPAREDWITHTHESZSESIMILARLY,THEAVERAGETRADINGAMOUNTOFASHARESHASINCREASEDBYFIFTYEIGHTTIMESONTHESHSEANDBYFORTYTIMESONTHESZSE,ANDTHATOFBSHARESHASINCREASEDBYFIFTEENTIMESONTHESHSEANDBY
21、THIRTEENTIMESONTHESZSE1OVERALL,TABLE1SHOWSTHATBSHAREMARKETSHAVENOTEXPANDEDASRAPIDLYASASHAREMARKETSALSO,BSHAREMARKETSHAVEBEENILLIQUIDANDLESSACTIVETHANASHAREMARKETS,ASSHOWNBYTHEAVERAGETURNOVERRATEINBSHAREMARKETSHOVERINGAROUNDONETENTHOFTHATINASHAREMARKETSAVERAGEDAILYRETURNSOFASHAREMARKETSHAVEBEENHIGHER
22、THANTHOSEOFBSHAREMARKETSINRECENTYEARSTOSTUDYBOTHTHECROSSSECTIONALANDTIMESERIESBEHAVIOROFAANDBSHAREPRICESINTHETWOSTOCKEXCHANGES,WESELECTSTOCKSWITHBOTHAANDBSHARESLISTEDONTHETWOSTOCKEXCHANGESBEFOREJUNE1,1997THESAMPLEPERIODISFROM1992TO1997ANDTHERETURNDATAAREDAILYOBSERVATIONSOURFINALSAMPLEINCLUDESTHIRTYS
23、IXSTOCKSONTHESHSEANDTHIRTYTWOSTOCKSONTHESZSEFROMTHEEXCHANGES,WECOLLECTTHEDAILYCLOSINGPRICESOFASHARESANDBSHARESFROMTHEDATETHEINFORMATIONFIRSTBECAMEAVAILABLETHEBSHAREPRICEONTHESHSEISDENOMINATEDINUSDOLLARS,ANDTHEBSHAREPRICEONTHESZSEISDENOMINATEDINHONGKONGDOLLARSWEUSEUSANDHONGKONGDOLLAREXCHANGERATESTOCO
24、NVERTTHEBSHAREPRICESTOTHERMBTOCONDUCTAPANELDATAANALYSIS,WEALSOCOLLECTTHENUMBEROFSHARESOUTSTANDING,TRADINGVOLUME,ANDMARKETCAPITALIZATIONFORBOTHASHAREANDBSHARESTOCKSINOURSAMPLEIIISOURCESOFPRICEDIFFERENCESBETWEENASHARESANDBSHARESASYMMETRICINFORMATIONHYPOTHESISCHAKRAVARTY,SARKAR,ANDWU1998ARGUETHATTHEDIS
25、COUNTSINBSHAREPRICESEXISTBECAUSEFOREIGNINVESTORSFINDITMOREDIFFICULT,RELATIVETODOMESTICINVESTORS,TOACQUIREANDASSESSINFORMATIONABOUTLOCALCHINESEFIRMSTHEDIFFICULTIESAREDUETOLANGUAGEBARRIERS,DIFFERENTACCOUNTINGSTANDARDS,ANDLACKOFRELIABLEINFORMATIONABOUTTHELOCALECONOMYANDFIRMSTHEYDEVELOPATHEORETICALMODEL
26、THATINCORPORATESBOTHASYMMETRICINFORMATIONANDMARKETSEGMENTATIONANDSHOWTHATBSHARESMAYTRADEATADISCOUNTRELATIVETOASHARESCHUIANDKWOK1998ARGUE,HOWEVER,THATFOREIGNINVESTORSRECEIVENEWSABOUTCHINAFASTERTHANDOMESTICINVESTORSBECAUSEOFINFORMATIONBARRIERSINCHINAASARESULT,RETURNSONBSHARESSHOULDLEADRETURNSONASHARES
27、THEYFINDEMPIRICALEVIDENCECONSISTENTWITHTHISHYPOTHESISUSINGCROSSAUTOCORRELATIONSBETWEENASHARERETURNSANDBSHARERETURNSINCHINASSTOCKMARKETGIVENTHEOPPOSINGVIEWS,THEISSUESHOULDBESETTLEDBYEMPIRICALANALYSESTOTESTTHEASYMMETRICINFORMATIONHYPOTHESIS,WEPROVIDEACAUSALITYTESTSINRETURNSANDRETURNVOLATILITIES,BTIMES
28、ERIESOVERTIMEEVIDENCE,ANDCEVIDENCEONACROSSSECTIONALFIRMSIZEEFFECTIFTHEASYMMETRICINFORMATIONHYPOTHESISHOLDS,EITHERASHARERETURNSHELPPREDICTBSHARERETURNSORVICEVERSATHEREFORE,WESHOULDOBSERVEACAUSALRELATIONBETWEENTHETWOTYPESOFSHARESACCORDINGTOCHAKRAVARTY,SARKAR,ANDWU1998,ASHARERETURNSSHOULDLEADORGRANGERC
29、AUSEBSHARERETURNSHOWEVER,ACCORDINGTOCHUIANDKWOK1998CAUSALITYINTHEOPPOSITEDIRECTIONSHOULDBEOBSERVEDALARGELITERATURERELATESSTOCKPRICEVOLATILITYTOTHEFLOWOFINFORMATIONINFINANCIALMARKETS,WHICHSUGGESTSTHEFLOWOFINFORMATIONBETWEENTHETWOCLASSESOFSHARESCANBESTUDIEDBYEXAMININGTHEIRRETURNVOLATILITYEG,ANDERSON19
30、96,LEEANDRUI2001THEREFORE,WELOOKATTHEDIRECTIONOFVOLATILITYTRANSMISSIONBETWEENTHETWOCLASSESOFSHARESIFTHEDISCOUNTINCLASSBSHARESISDUETOASYMMETRICINFORMATION,WESHOULDOBSERVEDECLININGDISCOUNTSOVERTIMEASTHEINFORMATIONDIFFERENCEBETWEENDOMESTICANDFOREIGNMARKETSNARROWSINADDITION,THEDISCOUNTSHOULDBENEGATIVELY
31、CORRELATEDWITHFIRMSIZE,ASFOREIGNINVESTORSSHOULDHAVELESSINFORMATIONALDISADVANTAGEINLARGEFIRMSDIFFERENTIALDEMANDHYPOTHESISTHEDIFFERENTIALDEMANDHYPOTHESISISBASEDONSTULZANDWASSERFALLENS1995MODELANDPOSITSTHATTHEDEMANDFUNCTIONSFORDOMESTICSHARESDIFFERBETWEENFOREIGNANDDOMESTICINVESTORSBECAUSEOFDEADWEIGHTCOS
32、TSINHOLDINGSTOCKSTHATVARYACROSSINVESTORSANDCOUNTRIESTHEYSHOWTHATDOMESTICFIRMSMAXIMIZEFIRMVALUEBYDISCRIMINATINGBETWEENDOMESTICANDFOREIGNINVESTORSDOMOWITZ,GLEN,ANDMADHAVEN1997EXTENDSTULZANDWASERFALLENSMODELTOACCOMMODATEMEXICOSSYSTEMINPARTICULAR,THEYTAKEINTOACCOUNTAOWNERSHIPRESTRICTIONSINMEXICOTHATAREB
33、INDINGANDNONENDOGENOUS,ALLOWINGDOMESTICINVESTORSTOOWNSHARESOPENTOFOREIGNINVESTORS,ANDBTHEDIFFERENCESBETWEENINVESTORGROUPSBECAUSEOFTHEIRNEEDFORDIVERSIFICATION,ASOPPOSEDTODIFFERENCESINDEADWEIGHTCOSTSASARESULT,THEIRAPPROACHCANEXPLAINTHEDIFFERENCESBETWEENTHEDEMANDELASTICITIESOFFOREIGNANDDOMESTICINVESTOR
34、SACCORDINGTOTHEHYPOTHESIS,TOMAXIMIZEMARKETVALUES,FIRMSCANPRICEDISCRIMINATEBETWEENDOMESTICANDFOREIGNSHAREHOLDERSBECAUSEOFDIFFERENCESINDEMANDELASTICITYTHEDEMANDELASTICITIESOFDOMESTICINVESTORSINCHINAANDFOREIGNINVESTORSMAYBEDIFFERENTFOREIGNINVESTORSMAYHAVEEASIERACCESSTODIVERSIFICATIONANDTHUSHAVEAHIGHERE
35、LASTICITYOFDEMANDFORTHESTOCKSTRADINGINCHINASSTOCKMARKETSHENCE,THEYREQUIREAHIGHERRISKPREMIUMTOINVESTINCHINAASARESULT,THEPRICESOFBSHARESTOCKSHAVETOBELOWERTOINDUCEFOREIGNINVESTORSTOHOLDTHEMFORDOMESTICINVESTORSINCHINA,THEDEMANDFORMARKETINSTRUMENTSISGREATWITHANATIONALSAVINGSRATEESTIMATEDTORUNASHIGHAS45PE
36、RCENTOFGROSSDOMESTICPRODUCT,CITIZENSANDENTERPRISESWITHEXCESSCASHTENDTORUSHINTOTHESECURITIESMARKETHOWEVER,INVESTMENTOPPORTUNITIESFORDOMESTICINVESTORSINCHINAARELIMITEDBANKDEPOSITSDONOTOFFERATTRACTIVERETURNSFROMMID1993TO1996,CHINAINDEXEDINTERESTRATESONLONGTERMSAVINGSANDBONDSTOINFLATION,THEREBYGUARANTEE
37、INGAREALRETURNOFCLOSETOZEROTHUS,DOMESTICINVESTORSELASTICITYOFDEMANDFORSTOCKSISRELATIVELYLOWASARESULT,DOMESTICINVESTORSFACEHIGHERASHAREPRICESANDAREFORCEDTOACCEPTASMALLRISKPREMIUMTOHOLDASHARESTOCKSINTHEDIFFERENTIALDEMANDHYPOTHESIS,THEDISCOUNTISLOWERASFOREIGNDEMANDINCREASESTHISSUGGESTSTHEDISCOUNTACROSS
38、FIRMSSHOULDBEANEGATIVEFUNCTIONOFTHEDEMANDSOFFOREIGNINVESTORSRELATIVETOTHESHARESOUTSTANDINGASANEMPIRICALPROXYFORTHISRELATIVEDEMANDMEASUREACROSSFIRMS,WEUSETHERATIOOFOUTSTANDINGBSHARESTOTOTALOUTSTANDINGSHARESASEMPLOYEDBYDOMOWITZ,GLEN,ANDMADHAVAN1997INANEQUILIBRIUM,THEDISTINCTIONBETWEENMEASURESOFSUPPLYA
39、NDDEMANDMAYNOTBECLEARIFOUTSTANDINGSHARESAREPRIMARILYDETERMINEDBYSUPPLYOFSHARESBYFIRMSRATHERTHANDEMANDBYINVESTORS,WEMAYOBSERVETHEDISCOUNTACROSSFIRMSISAPOSITIVEFUNCTIONOFTHERATIOOFOUTSTANDINGBSHARESTOTOTALOUTSTANDINGSHARESLIQUIDITYHYPOTHESISACCORDINGTOTHELIQUIDITYHYPOTHESIS,THEOBSERVEDPRICEDISCOUNTSFO
40、RBSHARESAREDUETOTHEIRLOWERLIQUIDITYANDHIGHERTRANSACTIONORTRADINGCOSTSAMIHUDANDMENDELSON1986SUGGESTRELATIVELYILLIQUIDSTOCKSHAVEAHIGHEREXPECTEDRETURNANDAREPRICEDLOWERTOCOMPENSATEINVESTORSFORINCREASEDTRADINGCOSTSASTURNOVERRATESANDTRADINGVOLUMEANDAMOUNTSINTABLE1DEMONSTRATE,ASHAREMARKETSARECONSISTENTLYAN
41、DPREDOMINANTLYMORELIQUIDANDACTIVETHANBSHAREMARKETSTHEREFORE,BSHAREINVESTORS,DEMANDINGAHIGHEREXPECTEDRETURN,DRIVETHEPRICEOFBSHARESLOWERTOCOMPENSATEFORTHETRADINGCOSTSINILLIQUIDANDTHINLYTRADEDBSHAREMARKETSFURTHERMORE,BECAUSEDEALERSINVENTORYCARRYINGCOSTSAREHIGHERFORSTOCKSINILLIQUIDMARKETS,TRADINGCOSTSIN
42、BSHARESWILLEXCEEDTHOSEOFASHARES2INTHELIQUIDITYHYPOTHESIS,THEDISCOUNTACROSSFIRMSISANINVERSEFUNCTIONOFTHELIQUIDITYOFBSHARESRELATIVETOTHATOFASHARESASEMPIRICALPROXIESFORTHERELATIVELIQUIDITYMEASURESACROSSFIRMS,WEEMPLOYTWOMEASURESRELATIVETRADINGVOLUMETHERATIOOFTRADINGVOLUMEINBSHARESTOTOTALTRADINGVOLUMEVA/
43、VABANDRELATIVETURNOVERTHERATIOOFTURNOVERINBSHARESTOTURNOVERINASHARESTHETURNOVERISDEFINEDASTHERATIOOFTHENUMBEROFSHARESTRADEDTOTHENUMBEROFSHARESOUTSTANDING,ANDISSOMETIMESKNOWNASRELATIVEVOLUMETHATIS,RELATIVETURNOVERISCOMPUTEDBYVB/SOB/VA/SOA,WHEREVDENOTESTRADINGVOLUMEANDSODENOTESSHARESOUTSTANDINGTURNOVE
44、RISUSEDASAMEASUREOFTRADINGVOLUMEORLIQUIDITYINPREVIOUSSTUDIESEG,JAINANDJOH1988,MULHERINANDGERETZ1989DIFFERENTIALRISKHYPOTHESISTHEDIFFERENTIALRISKHYPOTHESISARGUESTHATCHINESEINVESTORSANDFOREIGNINVESTORSHAVEDIFFERENTRISKAVERSIONBYEXTENDINGTHEINTERNATIONALASSETPRICINGMODELDEVELOPEDBYEUNANDJANAKIRAMANAN19
45、86,MA1996FINDSTHATTHEPRICEDIFFERENCESCANBEINFLUENCEDBYTHEINVESTORSATTITUDETOWARDRISK,THEDIFFERENCEBETWEENDOMESTICRISKFREERATEFOREIGNRISKFREERATE,THELIQUIDITYOFDIFFERENTSHARES,THECORRELATIONBETWEENBSHARESANDFOREIGNSHARES,ANDREGULATORYCHANGESINPARTICULAR,CHINESEMARKETSAREHIGHLYSPECULATIVE,ANDINVESTORS
46、MIGHTBEHIGHLYRISKTOLERANTANDMAYWANTTOMAKEMONEYINTHESHORTRUNTHEHIGHLYSPECULATIVEBEHAVIOROFCHINESEINVESTORSMAYPUSHUPASHAREPRICESTHATIS,ASHAREINVESTORSMAYHAVEADIFFERENTDEGREEOFRISKAVERSIONFROMBSHAREINVESTORSTHEREFORE,THEDIFFERENTRISKLEVELBETWEENASHAREANDBSHARESTOCKSPROVIDESANOTHEREXPLANATIONFORTHEBSHAR
47、EPRICEDISCOUNTIFTHISHYPOTHESISHOLDS,APOSITIVERELATIONSHOULDEXISTBETWEENTHEDISCOUNTANDRISKLEVELWEUSEVARIANCEOFRETURNSASAPROXYFORTHERISKLEVEL外文题目FOREIGNOWNERSHIPRESTRICTIONSANDMARKETSEGMENTATIONINCHINASSTOCKMARKETS出处JOURNALOFFINANCIALRESEARCH作者CHENGM,LEEBONGSOO,RUIOLIVER译文中国股票市场中的国外所有权限制和市场分割摘要本文主要研究在
48、市场分割状况下中国股市的情况。企业和地方主要发行两类股票只提供给中国公民的A股和只提供给外国公民的B股。B股具有重要的股票价格折扣记录。研究发现，价格差异的主要原因是B股市场的流动性不足。为弥补投资者增加的交易成本，流动性相对较差的B股股票具有较高的预期收益和较低的价格。不过，与A股价格相比B股价格往往与市场基本面联系更加紧密。因此，我们发现在中国市场上A股溢价比B股折扣更明显。一、引言本文研究中国股票价格受国外所有权限制而产生的影响。目前，有金融文献研究说明，由于外国所有权的限制，一些对外国投资者开放的股票比那些对本国投资者开放的股票具有更高的价格如，斯图尔兹和沃瑟夫伦1995,多摩威兹,格
49、楞和曼德汉福1997。而中国股市是个例外，直到最近才相对对其重视。黑特勒（1989）报告，1984年至1985年芬兰股市的外资股价格大幅溢价。依据均衡回报，国内投资者只允许持有国内股票（限制和无限制芬兰股），国外投资者允许持有所有股票（外资股和无限制芬兰股票）。他表明，受这一市场环境影响，国内投资者支付国内股票将低于国外投资者。贝利和杰格坦尼（1994）研究资本控制的作用，他们使用来自泰国地方和部门的那些买卖受外国所有权限制的证券数据。他们发现，泰国证券交易所董事会反映的19的平均溢价率，即泰国本地和国外之间的价格横截面差异，受外国所有权的限制，并且与流动性和信息可用性严重相关。斯图尔兹和沃瑟夫伦（1995）发现，外国投资者支付的股价和国内投资者在瑞士公司上市的股票价格相比，外国投资者支付的股价比国内投资者支付的股价高19。与多摩威兹,格楞和曼德汉福（1997）的研究相比，墨西哥B股不局限于探讨某一投资集团的溢价，还探讨其与股票价格和所有制限制引起的市场分割之间的关系。自1990年12月19日上海证券交易所（上交所）和1991年07月3日深圳证券交易所（深交所）成立以来，中国股市迅速扩大。一些公司发行两种类型的股票以人民币计价的A股，由中国公民交易；B股股票由非中国公民或华侨交易。相对于其他所有权分割，这两类股票类似，特别是业主的现金流量和投票
