Price Difference between A-share and H-share in Segmented Chinese Stock Markets: Influencing Factor Analysis using Cluster Analysis and Panel Data Model

机译：细分中国股票市场中A股和H股之间的价格差异：使用聚类分析和面板数据模型的影响因素分析

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This paper analyses factors that influence price difference between A-share and H-share after the reform of non-tradable shares in Chinese stock markets. Panel data of 35 companies listed on two markets from January to October in 2007 are divided into two sorts, low premium stocks and high premium stocks, using cluster analysis. The empirical result of low premium stocks using panel data model is consistent with traditional hypothesis. On the other hand, prices behaviors of high premium stocks conflict with hypothesis. Structural bubbles and speculation in A-share market contribute a lot to the difference between empirical results and traditional hypothesis.

机译：本文分析了中国股票市场非流通股改革后影响A股与H股价格差异的因素。使用聚类分析，将2007年1月至10月在两个市场上市的35家公司的面板数据分为低溢价股和高溢价股两类。使用面板数据模型的低溢价股票的经验结果与传统假设一致。另一方面，高溢价股票的价格行为与假设相冲突。 A股市场的结构性泡沫和投机行为为实证结果与传统假设之间的差异做出了很大贡献。

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《The 5th International Annual Conference on WTO and Financial Engineering(第五届WTO与金融工程国际会议)论文集》|2008年|441-451|共11页
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BA Shu-song; ZHU Yuan-qian;
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关键词
Panel Data; Cluster Analysis; Fixed Effect Model; Variable Intercept Model; Premium;

机译：面板数据;聚类分析;固定效应模型;可变截距模型;高级;

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Price Difference between A-share and H-share in Segmented Chinese Stock Markets: Influencing Factor Analysis using Cluster Analysis and Panel Data Model

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