基于贝叶斯AR（1）面板数据模型的A股和H股价差分析

摘要

With the rapid global financial integration, many emerging countries open up their securities international liberalization of offerings, investment and trading. However there are a series of obstacles in transactions, resulting in the capital market segmentation, which makes the same listed companies have different prices in different markets. In this paper, we use Bayesian AR(1) panel data model to analyze the price differences between dual listed companies in A and H shares. The results show that the previous day’s share price has a very significant and continuous effect on the intraday share price.%随着全球金融一体化趋势日益加强，新兴国家纷纷开放本国证券市场，促进了本国证券发行、证券投资、证券交易。由于在实际资本流通中存在一系列的交易障碍，造成了资本市场的分割现象，直接反映在同一上市企业在不同市场上的股票价格不一致。本文采用贝叶斯AR(1)面板模型对A股和H股价差进行分析，结果表明前一交易日的价差对后一交易日价差有着非常显著的影响，而且这一影响具有持续性。