基于行為金融視角的A、B股分割證券市場實證研究.pdf

1、重慶大學碩士學位論文基于行為金融視角的A、B股分割證券市場實證研究姓名：龔珍申請學位級別：碩士專業(yè)：金融學指導教師：陸靜201004重慶大學碩士學位論文英文摘要IIABSTRACTSecuritiesMarketSegmentationisaphenomenonthatsomeindicatsofthesecuritiesissuedbythesamelistedcompaniesindifferentstockmarketssucha

2、sthepricetheyieldratetherisksoonhavedifferentperfmancebecauseoftheobstaclestocirculationtheastrictionoftransactionalrulesthedifferenceofinfmationtransferinthesedifferentstockmarket.Thisphenomenoncanhindertheefficientflow

3、oftheinfmationinstockmarketaffectthevalidityofthestockmarketassetpricingreducetheefficiencyofthemarket.Alloftheseleadtheresearchaboutsecuritiesmarketsegmentationtobeoneofthemostpopularresearchesinthelast30years.Becauseof

4、thecapitalrationingstockmarket’shistyChinesestockmarketalsohaveseveremarketsegmentationphenomenonthepriceofthesecuritiesissuedbythesamelistedcompaniesisdifferentfromeachotherintheAsharetheBshare.Besidesameexceptionalphen

5、omenonisthatthepriceinBshareislowerthanthatinAsharethatisdifferentfromthecommonsituationintheinternationalstockmarket.Itiscalled“TheBsharediscountPuzzle”.InthispaperwestudyChinesestockmarketsegmentationattheangleofbehavi

6、alfinanceintroducethebehavialfinancemodelstotheresearchofAshareBshare.WeusedtheBAPMmodeltoexplainthereasonofBsharediscountpuzzleweusedtheIANMmodeltoanalysethemicrocosmicacterofABsharestockmarket.Theresearchresultsshowtha

7、tthenoisetraderexistinbothofABsharesstockmarketgenerallyTheNoiseTraderRisk(NTR)inBshareisgreaterthantheNTRinAshare.TheNoiseTraderRisk(NTR)inbothofABshareshasobviouseffectonstockreturnsitcanexplaintheBsharediscountpuzzleP

8、artially.TheBAPMbetainAsharestockmarketislargerthanthatinBsharestockmarkettheinfmationtradermaycrectthepricingerrsintroducedbythenoisetradersbuttheymayoverestimatethemagnitudeoftheerrsleadtotheresultof“Overreaction”.KeyW