我国公司A+H交叉上市的溢出效应分析

交叉上市对一国国内市场和国内公司的发展有重要的影响.本文通过实证考察我国公司以A H方式交叉上市对A股市场的影响,揭示了我国交叉上市的溢出效应.研究结果显示,A H交叉上市对A股市场的影响主要表现在资金分流效应(市场扩容)的负面影响上,分散风险效应等正面影响尚未有效发挥作用.因此,监管层在推出海外上市公司回国交叉上市的鼓励政策时,至少在短期内必须考虑内地市场对扩容的承受能力.

The Spillover Effect Analysis of the A and H Shares Cross-listing Firms in China

Cross-listing has an important spillover effect to the development of domestic security market and domestic firms.The spillover effect includes the negative effect,capital diversion,and the positive effect,risk dispersion.This paper explores an empirical research on the effect to A-share market and A-share listed firms from A and H shares cross-listed firms by a sample from 1993 to 2006,that is,the spillover effect of cross-listing in China.First,the event study shows before the announcement date of cross-listing,the standard cumulative average return(SCAR)of the A-share firms in the same industry is significantly negative.We find the empirical evidence of the negative net effect to A-share market and A-share listed firms from the A and H cross-listing.Secondly,by regress analysis we find the negative net effect is from capital diversion(market expansion).As the pressure of capital funding from the A and H cross-listed firms increases,the SCAR of A-share listed firms in the same industry decreases.The investors prefer the A and H cross-listed firms.The risk diversion effect doesn't work.The major reason is the segmentation between the A-share market and B-share market.And we also find the capital diversion works not only in the short run but also in the long run.So when the regulators want to constitute the policy about A and H cross-listing or encourage the overseas listed firms to list in A-share market they must pay atten-tion to the capacity expansion of A-share market at least in the short run.