开盘对隔夜信息的揭示效率——基于A股和H股的实证研究
Information Revelation Efficiency of Opening Period: An Empirical Study Based on A&H shares
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摘要:以A+H股上市公司为样本，运用加权价格贡献法比较了A股和H股开盘阶段对隔夜信息的揭示效率。研究结果发现，无论是A股还是H股，公司规模越大，开盘阶段的信息揭示效率越高；两市场开放度、成熟度、市场结构和交易机制的区别导致H股开盘阶段的信息揭示效率高于A股。Abstract:Based on the data of A&H cross-listing firms， this paper compared the efficiency of opening period to reveal overnight information for A shares and H shares using the method of weighted prices contribution. It was found that for both A and H shares， the bigger the company was， the more efficient the opening period was in information revelation. Moreover， opening period was more information efficient for H shares than A shares due to the difference between two markets in market maturity， opening degree， market structure and trading mechanism.
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