A股B股的区别英文论文

以下，就是有道富投资为大家翻译的A股B股的区别英文论文A.DataandPreliminaryStatistics　　ThetradingprocessesforA-(local)andB-(foreign)sharesontheShanghai　　StockExchange(SHSE)andtheShenzhenStockExchange(SZSE)aresimilar.　　Bothexchangesrunorder-driven,automatedmarkets.Neitherexchangehas　　designatedmarketmakers.Traderscanonlysubmitlimitorders,whicharrive　　atanelectronicconsolidatedopenlimitorderbook(COLOB).Anincomingorder　　isautomaticallymatchedagainstthebeststandinglimitorderintheCOLOB,　　accordingtotheprice-timepriorityprinciple.Ifitcannotbematched,thenit　　isaddedtotheCOLOB.Thereisnoblocktradingsystemthatallowsliquidity　　traderstotradelargevolumesinanupstairsmarket.Off-exchangetrading　　andinsidertradingarebothforbidden,butthisisnottightlymonitored.The　　minimumtradesizeis100sharesforlocalsharesinbothmarkets,but1,000　　sharesforShanghaiforeignsharesand100sharesforShenzhenforeignshares.　　Ourdataconsistofalltime-stampedtradesandquotesfromJanuary2000　　toNovember2001forallstockstradedontheSHSEandtheSZSE.7Weapply　　anumberoffilterstoourdata.First,welimitthesampletofirmsthattraded　　A-andB-sharesthroughoutthesampleperiod,therebyreducingthenumber　　offirmsfromover1,000to84.Second,weexcludeeightfirms,becauseonly　　forafewdayswefindnonzerovolumeintheB-sharemarket.Third,forthe　　remaining76firms,weremovedaysforwhich,forexogenousreasons,there　　wasnoorverylimitedtradingineithertheA-ortheB-sharemarket.8Fourth,　　weremovestalequotes,whichareeasilyrecognizedthroughzerodepth.Fifth,　　thefirstandlast15minutesofeachtradingsessionareremovedfromthe　　sample.　　TableIprovidestradingstatisticsfortheA-andB-sharesfromJanuaryto　　December2000,aperiodduringwhichbothmarketswerefullysegmented.　　Thetablepresentsthecross-sectionalmean,standarddeviation,minimum,　　andmaximumbasedonthe76samplestocks.Forcomparison,thetradeand　　quotedatafortheB-shares(inHongKongdollarsforSZSEandinU.S.dollars　　fortheSHSE)areconvertedtoyuanusingthe(fixed)officialexchangerate　　forthesampleperiod.Theaveragetradepriceinthisperiodis14.29yuan　　($1.73)forA-sharesand3.10yuan($0.37)forB-shares.Thiscorrespondstoan　　averageB-sharediscountof72%,whichisinlinewithpreviousevidence(see,e.g.,Baileyetal.(1999)).　　　Intermsofvolume,theB-sharemarketisabouthalfthesizeoftheA-share　　market—anaverageof854,000versus1,684,000sharesperday.TheA-share　　marketismoreactivelytraded,asexpected.Furthermore,wefindthatwhile　　thetradingfrequencyishigherintheA-sharemarket,thetransactionsize　　islower.Thishighlightstheimportanceofcontrollingfortradesizeinour　　spreaddecompositionanalysis.Althoughtheaveragequotedspreadis0.027　　yuanforA-sharesand0.035yuanforB-shares,thisdifferenceisnotsignificant　　atconventionalconfidencelevels.Theeffectivespreadsinthetwomarketsarebothequalto0.035yuan.　　　　B.PreliminaryAnalysisofInformationAsymmetryMeasures　　Inthissubsection,weestimatethepriceimpactcoefficients(PI),adverse　　selectioncomponents(AS),andtheprobabilityofinformedtrading(PIN)　　measures,andwestudywhethertheseinformationasymmetrymeasuresagree,　　cross-sectionally,astowhichsecuritiesexhibitthehighestinformationasymmetry.　　Wethenrelatethesemeasurestotheforeignsharediscount.　　InpreparingthedatafortheestimationofPIandAS,wefollowGlostenand　　Harris(1988)andtruncatethetradesizeto100,000sharestoavoidgivingtoo　　muchweighttolargetrades.Themediantruncationfrequencyis0.28%and　　1.55%fortheA-andB-sharemarket,respectively.Thisismostlikelytheresult　　ofmoreinstitutionalinvestorswhotradeinlargersizes,intheB-sharemarket.　　Wealsotruncatethetradesizeto200,000and400,000sharesandfindthat　　theresultsaregenerallysimilar.　　PanelAofTableIIcontainsestimatesofthepriceimpactcoefficientsforthe　　76A-andB-shares.Themeanestimatesofγandφare9.66×10−7yuanper　　shareand8.58×10−3yuanfortheA-sharemarket,and2.61×10−7and6.35　　×10−3fortheB-sharemarket.Therefore,althoughA-sharevolumeishigher　　thanB-sharevolume(seeTableI),A-sharedepthisactuallylowerthanB-share　　depth.Thisresultisinterestingasitshowsthatoneshouldnotequateliquidity　　withtradingvolume.Thus,consistentwithourmodelinSectionII,evenwithout　　tradingvolumeconsideration,theinformationasymmetrybetweenA-and　　B-sharemarketscouldcausetheirmarketdepthstobedifferent.Thismotivates　　whyinsubsequentregressionanalyseswetesttheextenttowhichourinformation　　asymmetrymeasuresexplaintheB-sharediscountaftercontrollingfortradingactivity.　　　　PanelBofTableIIcontainscross-sectionalstatisticsonthefixedandvariable　　adverseselectioncomponent(AS)ofthespreadandongrossprofitforthe76　　A-andB-shares.TheAScomponentcoefficients,z0andz1,aresignificant,and　　carrytheexpectedsignforallofthe76securitiesintheA-sharemarketand　　foralmostall(66and61,respectively)ofthesecuritiesintheB-sharemarket.　　Thisevidenceisconsistentwithpreviousliteratureinthatthecostofadverse　　selectionisasignificantcomponentofthespreadthatincreaseswiththesize　　ofthetransaction.Thefixedgrossprofitcoefficients,c0,aresignificant,and　　carrytheexpectedsignforallofthesecuritiesintheA-sharemarketandfor67　　ofthesecuritiesintheB-sharemarket.　　Thevariablegrossprofitcoefficients,c1,aresignificantfor55ofthesecuritiesintheA-sharemarketandforonly4ofthesecuritiesintheB-sharemarket.ThelastcolumninPanelBreportsthe　　AScomponentforamedian-sizedtrade.ConsistentwiththePIestimate,we　　findthattheaverageAScomponentislargerintheA-sharemarketthaninthe　　B-sharemarket,withvaluesof56.4×10−4and46.8×10−4yuan,respectively.　　AprobleminestimatingPIandtheAScomponentforthetwomarketsis　　thatthereisalowertradefrequencyforB-sharesascomparedtoA-shares.In　　additiontoestimatingtheAScomponentbasedontrade-by-tradedata,wealso　　estimatebasedonfixed-lengthintervals.Forinstance,inthecaseof15minutes,　　pricechangefromt–1totismeasuredasthepricechangeoverthe15-minute　　interval,V(t)isdefinedastheabsolutevalueofnetorderflowinthe15-minute　　intervalt,andQ(t)isdefinedas1or–1dependingonwhetherthenetorder　　flowispositiveornegativeinthe15-minuteintervalt.Ingeneral,wefind　　thatusingalternativeestimatesofPIandtheAScomponentinoursubsequent　　regressionanalysesproducesqualitativelysimilarresults.　　PanelCofTableIIpresentscross-sectionalstatisticsontheparameterestimatesofthePINmodel.Again,wefindconsiderableevidenceforprivately　　informedtradersintheA-sharemarket,astheaveragearrivalrateofthese　　typesoftraders,μ,is0.38,whichisofthesamelevelofmagnitudeasthearrival　　ratesofuninformedbuyers(0.44)andsellers(0.51).Thearrivalrateof　　informedtradersintheB-sharemarketislowerat0.11,andagainisofthe　　samelevelofmagnitudeasthearrivalratesofuninformedbuyers(0.06)and　　sellers(0.07)inthismarket.Theprobabilityofaninformationeventonaspecific　　day,α,ishigherintheA-sharemarketthanintheB-sharemarket,with　　ratesof0.36versus0.31,respectively.Thisisconsistentwiththeexistenceof　　moreinformationintheA-sharemarket.However,theaveragelevelofthePIN　　measureishigherintheB-sharemarket,asthismarketexhibitsarelatively　　lownumberofuninformedtrades.Allparametersaresignificantforthemajority　　ofthesecuritiesexceptfortheparameterδ,whichistheprobabilityofthenewsbeingbadnews.　　　Wecompareourmeasuresofinformationasymmetrybyverifyingwhether　　theyagreecross-sectionallyastowhichsecuritiesexhibitthemostinformation　　asymmetry.Figure4presentsscatterplotsoftheAScomponentofthespread　　(foramedian-sizedtrade)againstPIandthePINforboththeA-andB-share　　markets.Theseplotssuggestastrongerrelationshipbetweenthemeasures　　intheA-sharemarket,withcorrelationsof89%and59%,respectively.The　　relationshipintheB-sharemarketismuchweaker.　　Finally,scatterplotanalysisrevealsthattheB-sharediscountappearstobe　　explainedbytheproposedinformationasymmetrymeasures.Figure5plots　　foreignsharediscountsagainstthedifferentialsoftheinformationasymmetry　　measuresintheA-sharemarketrelativetotheB-sharemarket,asmeasured　　byPI,theAScomponent,orthePIN.Forallmeasures,wefindthatstocks　　withrelativelyhigherinformationasymmetryappeartocommandhigherBshare　　discounts.Thecorrelationsbetweenthethreeinformationasymmetry　　measuresandthediscountsare66%forPI,67%forAS,and28%forPIN,and　　arestatisticallysignificantateitherthe1%or5%level.　　D.ChangesAftertheB-ShareMarketWasOpenedUptoLocalInvestors　　InMarch2001,regulatorsopenedtheB-sharemarkettodomesticinvestors.　　Weusethisregulatorychangeeventtofurthertestourinformationasymmetry　　hypothesisintwoways.First,weexpectB-sharediscountstoshrinkorvanish　　and,moreimportant,ourinformationasymmetrymeasurestoincreaseforthe　　B-sharemarketafterthisevent,becausebetter-informeddomesticinvestorsare　　nowallowedtoparticipateinthismarket.Second,werepeatourcross-sectional　　regressionsforthenewsampleperiodasarobustnesstest.Weanalyzethesame　　76stocksforthesampleperiodofApriltoNovember2001.　　Wefindthat,consistentwithourhypothesis,thediscountlevelsdecrease　　fromanaverageof72%to43%,andthelevelofinformedtradingintheBshare　　marketincreasescomparedwiththemodelestimatesforthepreevent　　period.Themainreasonforthisgradual,ratherthansudden,declineindiscounts　　isthelackofforeigncurrencyamongdomesticinvestors.PanelAin　　TableVpresentspre-andpostentryestimatesofPI,andshowsthatPIalmost　　doubles(+81%)fortheB-sharemarketfrom2.6preentryto4.7postentry.This　　increaseislargerthanthe21%increaseintheA-sharemarketandistherefore　　consistentwiththearrivalofbetter-informeddomesticinvestorsinthe　　B-sharemarket.PanelBconfirmstheseresultsbasedontheAScomponentof　　thespread.Forboththefixed(z0)andthevariable(z1)AScomponent,wefind　　considerableincreasesintheB-sharemarketof52%and101%,respectively,afterdomesticinvestorswereallowedtoenterintothismarket.　　Wefindthat　　theAScomponentformedian-sizedtradesincreasesby44%from46.8centsto　　67.4cents.ThisincreaseisagainlargerthantheincreaseintheA-sharemarket　　andthusconsistentwiththePIfindings.PanelCofTableVrevealsthat　　thearrivalrateofinformedinvestorsintheB-sharemarketincreasesby164%.　　Thisrateactuallydecreasesby29%intheA-sharemarket.Furtherevidence　　ofincreasedinformationintheB-sharemarketisthattheprobabilityofan　　informationeventincreasesfrom0.31to0.42,whereasintheA-sharemarket,　　theprobabilityincreasesonlyfrom0.36to0.38.Nevertheless,thelevelofthe　　PINmeasuredoesnotchangemuchineithermarket,becausethechangesinthearrivalrateofuninformedtradersroughlymatchthoseofinformed　　traders.　　Theregressionsoftheforeignsharediscountontheinformationasymmetry　　measuresandcontrolsintheposteventperiodareconsistentwithearlierfindings.　　TableVIpresentstheresultsforPI,AS,andPINincludingandexcluding　　thecontrolvariables.Inalloftheregressions,theinformationasymmetrymeasures　　aresignificantlypositive,withthePIandAScomponentmeasuresexplaining　　61%and71%ofthevariationinforeignsharediscounts,respectively.　　E.DiscussionandInterpretationoftheResults　　Overall,ourresultsprovidestrongevidencethattheinformationasymmetry　　measures,especiallytheadverseselectioncomponentofthebid-askspread,are　　farmoreimportantthananyofthecontrolvariablesinexplainingthecrosssectional　　variationinB-sharediscounts.Ourinterpretationisthattheinformation　　asymmetrymeasuresreflecttheextentofprivateinformationavailable　　todomesticinvestors.Whenthereisahigherdegreeofinformationasymmetry,　　asmeasuredbyahigherpriceimpactcoefficientoradverseselectioncomponent　　intheA-sharemarketthanintheB-sharemarket,domesticinvestorsare　　morewillingtopayahigherpricethanforeigninvestors,resultinginB-share　　discounts.However,severalissuesareworthyofdiscussion.　　Thefirstissueconcernsthetypeofprivateinformationtowhichwerefer.It　　iswidelybelievedthatChineseinvestorstradeonrumorsratherthanfundamentals.　　Furthermore,sharemanipulationiswidespread,pushingpricesaway　　fromtheintrinsicvalueforarelativelylongtimeperiod.Meietal.(2003)argue　　thatA-sharepricesareareflectionofspeculativebubbles.Thus,itisnotclear　　whetherourinformationasymmetrymeasuresreflectfundamentalnews.Although　　weagreewiththisviewofthespeculativebehaviorofinvestors,wedo　　notthinkthatitshoulddisqualifyourpriceimpactcoefficientoradverseselection　　componentfrombeingeffectivemeasuresofinformationasymmetry.