Does Systematic Risk Affect A-H Price Spread ?

机译：系统性风险会影响A-H价格价差吗？

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We analyzed the factors affect A-H price difference from a macro perspective.First,we decomposed return to the discount rate news and the cash flow news; we proved that systematic risk driving A-H price difference.Then,we derive the relationship between A-H price difference and macroeconomic fundamental.Finally,we verify it using term structure of interest rate.The empirical evidence is that the yield curve can illustrate more than 64％ of A-H price difference variation.Considering the representation of term structure of interest rate for macroeconomic fundamental,we can affirm that explanatory ability ofsystematic risk can highly exceed this figure.

机译：我们从宏观的角度分析了影响A-H价格差异的因素。首先，对折现率和现金流量的回归进行分解。我们证明了系统的风险驱动着AH价格差异。然后，推导了AH价格差异与宏观经济基本面之间的关系。最后，我们使用利率期限结构对其进行了验证。经验证据表明，收益率曲线可以说明64％以上考虑到宏观经济基本面利率期限结构的表示，我们可以确认系统风险的解释能力可以大大超过该数字。

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来源
《2012 IEEE 5th International conference on management engineering amp; technology of statistics》|2012年|124-127|共4页
会议地点 Qingdao(CN)
作者
Ran Zhang;
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作者单位

Dept.of Financial Engineering Dangling School of Economics and Management,University of Science and Technology Beijing Beijing,China;

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会议组织
原文格式 PDF
正文语种 eng
中图分类统计学;
关键词
Market Segmentation; Dual Listing (Cross Listing); Systematic Risk; Term Structure of Interest Rate;

机译：市场细分;双重上市（交叉上市）;系统性风险;利率期限结构;

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Does Systematic Risk Affect A-H Price Spread ?

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