外文翻譯--中國股票市場中的國外所有權限制和市場分割

1、<p><b>　　中文4397字</b></p><p>　　外文題目：Foreign Ownership Restrictions And Market Segmentation In China’s Stock Markets </p><p>　　出 處：Jou

2、rnal Of Financial Research </p><p>　　作 者：Chen.G. M,Lee.Bong-Soo,Rui.Oliver </p><p><b>　　原 文：</b></p><p>&

3、lt;b>　　Abstract</b></p><p>　　We study market segmentation in China's stock markets, in which local firms issue two classes of shares: class A shares available only to Chinese citizens and class

4、B shares available only to foreign citizens. Significant stock price discounts are documented for class B shares. We find that the price difference is primarily due to illiquid B-share markets. Relatively illiquid B-shar

5、e stocks have a higher expected return and are priced lower to compensate investors for increased trading costs. Ho</p><p>　　I.Introduction </p><p>　　We examine the effect of foreigners' own

6、ership restrictions on equity prices in China. Recently, the finance literature documents that, with foreign ownership restrictions, a class of shares open to foreigners tends to command higher prices than those open to

7、domestic investors (e.g., Stulz and Wasserfallen (1995), Domowitz, Glen, and Madhavan (1997)). An exception is stocks in China, which have received relatively little attention until recently.</p><p>　　Hietal

8、a (1989) reports a substantial premium for the foreign share price for the Finnish stock market for 1984-85. He derives equilibrium returns when domestic investors are allowed to hold only domestic stocks (restricted Fin

9、nish and unrestricted Finnish stocks) and foreign investors are allowed to hold all stocks (foreign stocks and unrestricted Finnish stocks). He shows that in this market setting domestic investors may pay less than forei

10、gn investors for domestic stocks. Bailey and Jagtiani </p><p>　　Since the establishment of the Shanghai Stock Exchange (SHSE) on December 19, 1990, and the Shenzhen Stock Exchange (SZSE) on July 3, 1991, Chi

11、na's stock markets have expanded rapidly. Some firms issue two types of shares. Class A shares, which are denominated in RMB, are traded among Chinese citizens, and class B shares are traded among non-Chinese citizen

12、s or overseas Chinese. Other than segmentation by ownership, these two classes of shares are similar; in particular, owners have equal rights</p><p>　　Unlike other countries, there exists a large price disco

13、unt for B shares (foreign shares) relative to the A shares (domestic shares). Bailey (1994) analyzes eight Chinese B-share stocks from March 1992 through March 1993. He finds a significant discount in B-share prices rela

14、tive to A-share prices of these eight stocks. In our sample of sixty-eight firms issuing both A-share and B-share stocks, the average B-share discount on the SHSE is about 66.2 percent and that on the SZSE is about 52.4

15、perc</p><p>　　Given substantial price differences between the two classes of shares, we address two issues. First, we try to identify factors that affect large discounts in B shares. Second, between the two

16、classes of shares, we try to figure out which one mimics China's market fundamental values more closely. In other words, if the foreign ownership restriction is lifted, we wish to know which share prices will move cl

17、oser to the new market prices.</p><p>　　To address the first issue, we consider four potential explanations about the sources of the differential prices: the asymmetric information hypothesis, the differenti

18、al demand hypothesis, the liquidity hypothesis, and the differential risk hypothesis. Although these hypotheses may explain the price differences between the two classes of shares, they are not necessarily complementary

19、and they yield different empirical predictions. We characterize each hypothesis by its empirical implications and</p><p>　　Overall, we find that the substantial discounts in class B shares are primarily due

20、to illiquid B-share markets. Relatively illiquid B shares have a higher expected return and are priced lower to compensate investors for increased trading costs. However, between the two classes of shares, we find that B

21、-share prices tend to move more closely with market fundamentals. This suggests A-share premiums rather than B-share discounts.</p><p>　　II.Introduction of China's Stock Exchanges and Sample Data </p&

22、gt;<p>　　The emergence of China's capital markets began with issuance of state treasury bonds in 1981 and state-enterprises corporate bonds to employees in 1984. Some state enterprises were also allowed to iss

23、ue stocks to their employees. The capital markets were not well shaped until the formal establishment of the SHSE on December 19, 1990, and the SZSE on July 3, 1991. In 1992, China allowed some companies to issue a speci

24、al type of stock, B shares, for trading by foreign investors. The two B-share ma</p><p>　　China's stock markets have expanded rapidly, as shown in Table 1. The number of A-share-listed firms has increase

25、d from 53 in 1992 to 720 in 1997, of which 372 traded on the SHSE and 348 traded on the SZSE. The number of B-share-listed firms has increased from 14 in 1992 to 101 in 1997, of which 50 traded on the SHSE and 51 traded

26、on the SZSE. The total market capitalization has increased more than seventeen times since 1992. The average trading volume of A shares has increased by fifty times on</p><p>　　To study both the cross-sectio

27、nal and time-series behavior of A- and B-share prices in the two stock exchanges, we select stocks with both A and B shares listed on the two stock exchanges before June 1, 1997. The sample period is from 1992 to 1997 an

28、d the return data are daily observations. Our final sample includes thirty-six stocks on the SHSE and thirty-two stocks on the SZSE. From the exchanges, we collect the daily closing prices of A shares and B shares from t

29、he date the information first </p><p>　　III. Sources of Price Differences Between A Shares and B Shares </p><p>　　Asymmetric Information Hypothesis </p><p>　　Chakravarty, Sarkar, an

30、d Wu (1998) argue that the discounts in B-share prices exist because foreign investors find it more difficult, relative to domestic investors, to acquire and assess information about local Chinese firms. The difficulties

31、 are due to language barriers, different accounting standards, and lack of reliable information about the local economy and firms. They develop a theoretical model that incorporates both asymmetric information and market

32、 segmentation and show that B shares </p><p>　　Chui and Kwok (1998) argue, however, that foreign investors receive news about China faster than domestic investors because of information barriers in China. As

33、 a result, returns on B shares should lead returns on A shares. They find empirical evidence consistent with this hypothesis using cross-autocorrelations between A-share returns and B-share returns in China's stock m

34、arket.</p><p>　　Given the opposing views, the issue should be settled by empirical analyses. To test the asymmetric information hypothesis, we provide (a) causality tests in returns and return volatilities,

35、(b) time-series (over time) evidence, and (c) evidence on a cross-sectional firm size effect. If the asymmetric information hypothesis holds, either A-share returns help predict B-share returns or vice versa. Therefore,

36、we should observe a causal relation between the two types of shares. According to Chakrav</p><p>　　Differential Demand Hypothesis </p><p>　　The differential demand hypothesis is based on Stulz a

37、nd Wasserfallen's (1995) model and posits that the demand functions for domestic shares differ between foreign and domestic investors because of deadweight costs in holding stocks that vary across investors and count

38、ries. They show that domestic firms maximize firm value by discriminating between domestic and foreign investors. Domowitz, Glen, and Madhaven (1997) extend Stulz and Waserfallen's model to accommodate Mexico's s

39、ystem. In particul</p><p>　　According to the hypothesis, to maximize market values, firms can price discriminate between domestic and foreign shareholders because of differences in demand elasticity. The dem

40、and elasticities of domestic investors in China and foreign investors may be different. Foreign investors may have easier access to diversification and thus have a higher elasticity of demand for the stocks trading in Ch

41、ina's stock markets. Hence, they require a higher risk premium to invest in China. As a result, the p</p><p>　　For domestic investors in China, the demand for market instruments is great. With a national

42、 savings rate estimated to run as high as 45 percent of gross domestic product, citizens and enterprises with excess cash tend to rush into the securities market. However, investment opportunities for domestic investors

43、in China are limited. Bank deposits do not offer attractive returns. From mid- 1993 to 1996, China indexed interest rates on long-term savings and bonds to inflation, thereby guaranteeing </p><p>　　In the di

44、fferential demand hypothesis, the discount is lower as foreign demand increases. This suggests the discount across firms should be a negative function of the demands of foreign investors relative to the shares outstandin

45、g. As an empirical proxy for this relative demand measure across firms, we use the ratio of outstanding B shares to total outstanding shares as employed by Domowitz, Glen, and Madhavan (1997).</p><p>　　In an

46、 equilibrium, the distinction between measures of supply and demand may not be clear. If outstanding shares are primarily determined by supply of shares by firms rather than demand by investors, we may observe the discou

47、nt across firms is a positive function of the ratio of outstanding B shares to total outstanding shares.</p><p>　　Liquidity Hypothesis </p><p>　　According to the liquidity hypothesis, the observ

48、ed price discounts for B shares are due to their lower liquidity and higher transaction (or trading) costs. Amihud and Mendelson (1986) suggest relatively illiquid stocks have a higher expected return and are priced lowe

49、r to compensate investors for increased trading costs. As turnover rates and trading volume and amounts in Table 1 demonstrate, A-share markets are consistently and predominantly more liquid and active than B-share marke

50、ts. Therefo</p><p>　　In the liquidity hypothesis, the discount across firms is an inverse function of the liquidity of B shares relative to that of A shares. As empirical proxies for the relative liquidity m

51、easures across firms, we employ two measures: relative trading volume (the ratio of trading volume in B shares to total trading volume (VA/VA+B) and relative turnover (the ratio of turnover in B shares to turnover in A s

52、hares). The turnover is defined as the ratio of the number of shares traded to the number of s</p><p>　　Differential Risk Hypothesis </p><p>　　The differential risk hypothesis argues that Chines

53、e investors and foreign investors have different risk aversion. By extending the international asset pricing model developed by Eun and Janakiramanan (1986), Ma (1996) finds that the price differences can be influenced b

54、y the investors' attitude toward risk, the difference between domestic risk-free rate foreign risk-free rate, the liquidity of different shares, the correlation between B shares and foreign shares, and regulatory cha

55、nges.</p><p>　　In particular, Chinese markets are highly speculative, and investors might be highly risk tolerant and may want to make money in the short run. The highly speculative behavior of Chinese inves

56、tors may push up A-share prices. That is, A-share investors may have a different degree of risk aversionfrom B-share investors. Therefore, the different risk level between A-share and B-share stocks provides another expl

57、anation for the B-share price discount. If this hypothesis holds, a positive relation sh</p><p>　　外文題目：Foreign Ownership Restrictions And Market Segmentation In China’s Stock Markets

58、 </p><p>　　出 處：Journal Of Financial Research </p><p>　　作 者：Chen.G. M,Lee.Bong-Soo,Rui.Oliver </p><p><b>　　譯

59、 文：</b></p><p>　　中國股票市場中的國外所有權限制和市場分割</p><p><b>　　摘 要</b></p><p>　　本文主要研究在市場分割狀況下中國股市的情況。企業(yè)和地方主要發(fā)行兩類股票：只提供給中國公民的A股和只提供給外國公民的B股。B股具有重要的股票價格折扣記錄。研究發(fā)現(xiàn)，價格差異的主要原因是B股市

60、場的流動性不足。為彌補投資者增加的交易成本，流動性相對較差的B股股票具有較高的預期收益和較低的價格。不過，與A股價格相比B股價格往往與市場基本面聯(lián)系更加緊密。因此，我們發(fā)現(xiàn)在中國市場上A股溢價比B股折扣更明顯。</p><p><b>　　一、引 言</b></p><p>　　本文研究中國股票價格受國外所有權限制而產(chǎn)生的影響。目前，有金融文獻研究說明，由于外國所有權

61、的限制，一些對外國投資者開放的股票比那些對本國投資者開放的股票具有更高的價格(如，斯圖爾茲和沃瑟夫倫(1995), 多摩威茲, 格楞和曼德漢福(1997))。而中國股市是個例外，直到最近才相對對其重視。</p><p>　　黑特勒（1989）報告，1984年至1985年芬蘭股市的外資股價格大幅溢價。依據(jù)均衡回報，國內(nèi)投資者只允許持有國內(nèi)股票（限制和無限制芬蘭股），國外投資者允許持有所有股票（外資股和無限制芬蘭股票

62、）。他表明，受這一市場環(huán)境影響，國內(nèi)投資者支付國內(nèi)股票將低于國外投資者。貝利和杰格坦尼（1994）研究資本控制的作用，他們使用來自泰國地方和部門的那些買賣受外國所有權限制的證券數(shù)據(jù)。他們發(fā)現(xiàn)，泰國證券交易所董事會反映的19%的平均溢價率，即泰國本地和國外之間的價格橫截面差異，受外國所有權的限制，并且與流動性和信息可用性嚴重相關。斯圖爾茲和沃瑟夫倫（1995）發(fā)現(xiàn)，外國投資者支付的股價和國內(nèi)投資者在瑞士公司上市的股票價格相比，外國投資者支

63、付的股價比國內(nèi)投資者支付的股價高19%。與多摩威茲, 格楞和曼德漢福（1997）的研究相比，墨西哥B股不局限于探討某一投資集團的溢價，還探討其與股票價格和所有制限制引起的市場分割之間的關系。</p><p>　　自1990年12月19日上海證券交易所（上交所）和1991年07月3日深圳證券交易所（深交所）成立以來，中國股市迅速擴大。一些公司發(fā)行兩種類型的股票：以人民幣計價的A股，由中國公民交易；B股股票由非中國公

64、民或華僑交易。相對于其他所有權分割，這兩類股票類似，特別是業(yè)主的現(xiàn)金流量和投票權的權利平等。</p><p>　　與其他國家不同，B股（外資股）相對A股（國內(nèi)股）存在一個較大的價格折扣。貝利（1994）通過分析1992年3月到1993年3月中國的八個B股股票。他發(fā)現(xiàn)，B股價格相對于這八個股票的A股價格存在大幅折扣。本文分析92年至97年同時發(fā)行A股和B股股票的68個樣本公司，B股在上海證券交易所的折扣大約是66.

65、2%，在深圳證券交易所約為52.4%。</p><p>　　鑒于股票之間的價格差異很大，本文主要解決兩個問題。首先，嘗試找出B股大折扣的影響因素。其次，針對兩類股票，本文試圖找出哪一個與中國市場的基本價值觀聯(lián)系更加緊密。換句話說，如果外國所有權限制解除，哪些股票價格將與新的市場價格更接近。</p><p>　　為解決第一個問題，本文找出四個對價格差異可能作出解釋的因素：信息不對稱假說，需求

66、不同假說，流動性假說，差分風險假說。盡管這些假說可以解釋兩類股票之間的價格差異，他們并不一定具有互補性，它們會產(chǎn)生不同的經(jīng)驗預測。本文描述了每一個假說及其實證意義，并利用面板數(shù)據(jù)對每個假說做出實證檢驗。為解決第二個問題，本文研究未來現(xiàn)金流量及股票價格（回報），在給定每類股票的每股價格占市場基本面相對權重下，得出兩類股票的動態(tài)關系模型。</p><p>　　整體而言，我們發(fā)現(xiàn)，B股的大幅折扣主要是由于B股市場的流動

67、性不足。為了彌補投資者的交易成本，流動性相對較差的B股有較高的預期收益和較低的價格。不過，在這兩類股票中，我們還發(fā)現(xiàn)，B股價格往往與市場基本面聯(lián)系更加緊密。這表明，造成股票價格差異的因素是A股溢價而不是B股折扣。</p><p>　　一、對中國的證券交易所和交易數(shù)據(jù)的介紹</p><p>　　中國資本市場的興起始于1981年，以國有企業(yè)的公司債券和國債的發(fā)行為標志。1984年，一些國有企業(yè)

68、也允許給員工發(fā)行股票。直到1990年12月19日上海證券交易所和1991年7月3日深圳證券交易所正式成立，資本市場才具有完整的形狀。1992年，中國一些公司允許外國投資者發(fā)行特殊類型的股票：B股。外國投資者參與的這兩個B股市場 ，其中上海證券交易所B股以美元計價，深圳證券交易所B股以港元計價。B股的推出更幫助了大陸經(jīng)濟的兩位數(shù)增長。盡管國內(nèi)參與者在技術上禁止買賣B股，但可以在一定條件下進行B股交易。</p><p&g

69、t;　　中國股市迅速擴大。從1992年到1997年，A股上市公司的數(shù)目已有720家，其中372家在上海證券交易所，348家在深圳證券交易所。從1992年到1997年，B股上市公司的數(shù)目由14家增加到101家，其中50家在上海證券交易所和51家在深圳證券交易所上市交易?？偸兄底?992年以來已增加超過17倍。在上交所A股的平均交易量增加了50倍，在深交所增加了25倍，然而與深交所相比B股的交易量還沒有明顯的增加。同樣，上交所A股的平均交易

70、量增加了58倍，深圳證券交易所增加了40倍?？傮w而言，B股市場還沒有迅速擴大到A股市場的規(guī)模。另外，與A股市場相比B股市場一直缺乏流動性和積極性，B股市場的換手率只有A股市場的十分之一，最近幾年A股市場的平均日收益已高于B股市場。</p><p>　　為研究在兩個交易所上市的A股和B股的價格，我們選擇1997年6月1日之前在兩個證券交易所上市的A和B股股票的截面數(shù)據(jù)和時間序列數(shù)據(jù)。樣本期間為1992年至1997年

71、，每天觀察并記錄數(shù)據(jù)。本文的最終樣品包括上交所36只股票和深圳證券交易所的32只股票。通過交易，我們收集了A股和B股自每日收市價之日起的第一個信息。上交所B股以美元計價，深交所B股的價格以港元計價。并把美元和港幣經(jīng)過人民幣匯率轉(zhuǎn)化作為B股價格。要進行面板數(shù)據(jù)分析，我們還同時收集A股流通股、交易數(shù)量以及樣本B股股票的市值。</p><p>　　二、A股和B股價格差異的來源</p><p>　

72、?。ㄒ唬┬畔⒉粚ΨQ假說</p><p>　　查克拉夫特, 薩卡和吳（1998）認為，B股價格折扣存在是因為外國投資者相對于國內(nèi)投資者，由于語言障礙，會計標準不同，對當?shù)亟?jīng)濟和企業(yè)缺乏可靠的信息來源，要獲得有關當?shù)厝A人和評估公司的信息比較困難。他們開發(fā)的理論模型，融合了信息不對稱和市場分割，并表明，相對于A股，B股在交易中可能具有折扣價。</p><p>　　但是崔和沃克（1998）認為，由

73、于信息壁壘，外國投資者獲得中國新聞比中國國內(nèi)的投資者更快。因此，對B股的回報應該高于A股的回報。他們發(fā)現(xiàn)，在中國股市這種經(jīng)驗證據(jù)與使用自相關的假設反映出A股和B股的回報是一致的。</p><p>　　鑒于反對意見，通過實證分析，這一問題應該得到解決。為了檢驗這一信息不對稱假設，本文提供：（1）關于回報和回報波動性的因果關系檢驗。（2）以時間序列數(shù)據(jù)為依據(jù)的實證分析。（3）以橫截面數(shù)據(jù)為依據(jù)對企業(yè)的規(guī)模效應進行實證

74、研究。信息不對稱的假設，無論是預測A股回報高于B股的回報，還是B股回報高于A股均成立。因此，我們應該遵守股票之間的因果關系。據(jù)崔和沃克（1998）分析：A股的回報應該高于B股的回報。然而，與崔和沃克（1998年）分析方向相反的因果關系也應得到遵守。有關金融市場信息流通引發(fā)股票價格波動的文獻表明，可以通過檢驗其報酬波動來研究兩類股份之間的信息流通。因此，我們觀察兩類股票信息波動傳導方向。如果B股折價是由于信息不對稱，我們應該減少國內(nèi)和國外

75、市場之間的信息傳遞的時間，從而減少折扣。此外，由于外國投資者存在大型企業(yè)信息少的缺點，因此降價應該與公司規(guī)模呈負相關。</p><p><b>　　（二）差分需求假說</b></p><p>　　差分需求的假說是基于斯圖爾茲和沃瑟夫倫（1995）的模型。因為持有外國股票的投資者和國內(nèi)投資者不同、交易成本不同，可以斷定，需求函數(shù)之間存在共享。它們表明，國內(nèi)企業(yè)最大限度地

76、對本國和外國投資者做出歧視性公司的價值。多摩威茲, 格楞和曼德漢福（1997）延用斯圖爾茲和沃瑟夫倫的模式，以適應墨西哥的系統(tǒng)。特別是，他們考慮到（1）由于所有權的限制，墨西哥具有較少的約束力，允許國內(nèi)投資者持有開放給外國投資者持有的股份。（2）由于投資群體之間的差異多樣化，而不是交易成本的差異。因此，他們的研究可以解釋外國和國內(nèi)投資者之間的需求彈性的差異。</p><p>　　根據(jù)該假說，為了衡量市場價值，由于

77、需求彈性的差異，公司能夠?qū)鴥?nèi)和國外的投資者使用價格歧視。在中國，國內(nèi)投資者和國外投資者的需求彈性可能會有所不同。國外投資者可以更容易地獲得多樣化，從而在中國股市交易的股票具有較高的彈性。因此，他們要求更高的風險溢價投資于中國。B股股票的價格較低，所以國外投資者愿意持有B股。</p><p>　　中國國內(nèi)投資者對市場工具的需求是巨大的。國民儲蓄率估計可能高達國內(nèi)生產(chǎn)總值的45%，因此公民和企業(yè)往往有超額現(xiàn)金涌入證

78、券市場。不過，在中國國內(nèi)投資者的投資機會是有限的，銀行存款并不提供可觀的回報。從1993年年中至1996年，受利率影響，中國長期儲蓄和債券通貨膨脹，從而促使了實際收益率接近零。因此，國內(nèi)投資者對股票的需求彈性是比較低的。國內(nèi)投資者面對更高的A股價格，并被迫以較小的風險溢價持有A股股票。</p><p>　　差分需求假說表明，隨著國外需求的增加折扣更低。說明對于外國投資者，不同企業(yè)的流通股折扣具有負面作用。多摩威茲

79、, 格楞和曼德漢福（1997）研究的B股流通股總額的比率是差分需求假說的優(yōu)秀代表。</p><p>　　平衡供給和需求之間的措施對股市的影響尚不明確。如果流通股主要是由企業(yè)而不是由股票供應影響的投資者決定的，那么我們可以觀察到，不同企業(yè)B股流通股總額的比率對折扣成正相關。</p><p><b>　?。ㄈ┝鲃有约僬f</b></p><p>　

80、　根據(jù)流動性假說，B股價格折扣是由于其較低的流動性和較高的交易成本產(chǎn)生的。</p><p>　　艾米漢德和門德爾松（1986）提出，由于周轉(zhuǎn)率與交易量不同，為彌補投資者的交易成本，流動性相對較差的股票有較高的預期收益和較低的價格。數(shù)據(jù)表明，A股市場比B股市場更具流動性和活躍性。因此，為了彌補流動性不足和交易清淡的B股市場的交易成本，B股投資者要求較高的預期回報來降低B股價格。此外，在市場缺乏流動性時，B股交易成本

81、高于A股經(jīng)銷商的庫存持有成本。</p><p>　　在流動性假說中，不同企業(yè)的折扣是B股相對于A股流動性的反函數(shù)。對于不同企業(yè)，我們采用兩種措施：相對交易量轉(zhuǎn)換率（B股相對于總交易量轉(zhuǎn)換率，B股相對于A股轉(zhuǎn)換率）。轉(zhuǎn)換率是指所交易的流通股股數(shù)的比例，有時被稱為相對量。也就是說，相對轉(zhuǎn)換率的計算方法是(VB/SOB)/(VA/SOA)，其中V表示交易量、SO代表已發(fā)行的股票量。以往的研究中轉(zhuǎn)換率被用作交易量或流動性

82、指標(例如, 簡和約翰(1988), 馬爾林和格瑞茲(1989))。</p><p><b>　?。ㄋ模┎罘诛L險假說</b></p><p>　　差分風險假說認為，通過放大國際資產(chǎn)定價模型，中國投資者和外國投資者具有不同的風險規(guī)避。恩和杰克阿曼尼(1986), 馬(1996)發(fā)現(xiàn)，發(fā)達國家的價格差異受投資者對風險態(tài)度的影響。B股、外資股受國內(nèi)無風險利率與國外無風險利率

83、的差異，并與股票的流動性，監(jiān)管水平相關。</p><p>　　特別是具有高度投機性的中國市場，投資者可能會非常危險，要在短期內(nèi)獲利不太容易。中方投資者的高度投機行為可能會推升A股價格。也就是說，相較B股投資者，A股投資者可能有不同程度的風險厭惡。因此，A股和B股的不同風險水平為B股價格折扣提供了另一種解釋。如果這一假說成立，我們把回報的方差作為風險水平的代表，那么折扣和風險水平之間應該存在正相關關系。</p