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随着我国资本市场的不断发展,内地股票市场和香港股票市场的联系更加紧密,越来越多的公司选择在两地同时上市,双重上市公司股票价格存在的巨大差异,成为众所关注的焦点问题。本文运用面板数据,对两地股票价格差异的变动与汇率变动之间的关系进行研究,并对汇率制度改革前后两地股票市场的表现进行了分析。研究结果表明,双重上市公司股票价格差异的短期变动与汇率短期变动之间存在负向关系。在汇率制度改革之后,汇率的短期变动对双重上市公司股票价格差异变动的影响程度减弱。
With the continuous development of China’s capital market, the connection between the mainland stock market and the Hong Kong stock market is more and more closely. More and more companies choose to go public simultaneously in both places. There are huge differences in the stock prices of the dual listed companies, which has become the focus of public concern problem. This article uses panel data to study the relationship between changes in the stock price difference and exchange rate changes between the two places and analyzes the performance of the stock markets before and after the exchange rate system reform. The results show that there is a negative relationship between short-term changes in the price difference of dual listed companies and short-term exchange rate changes. After the reform of the exchange rate system, the short-term changes in the exchange rate will have less effect on the changes in the stock price of the dual listed companies.