1、A 股 B 股的区别论文英文翻译以下，就是有道富投资为大家翻译的 A 股 B 股的区别论文A.数据和初步统计A 股和 B 股在上海证券交易所和深圳证券交易所的交易程序都是类似的。二者的交易都是以买卖盘带动，且都使用电脑进行自动化交易。二者都没有指定的做市商。而且，交易者只能通过一个开放的电子综合限价书(COLOB)来提交限价购买委托书。按照时间和价格优先的原则，买入委托单会自动和 COLOB 中最佳的限价单进行匹配。如果不能匹配，则会将买入委托单加入到 COLOB 中。并不存在大宗交易系统允许流动交易者在上层市场进行大宗交易。场外交易和知情交易都是被禁止的，但检测系统并不十分严格。上交所和深交
2、所的最低 A 股交易额均为100股，但上交所最低 B 股交易额为1000股，深交所为100股。我们的数据包含了从2000年1月份到2001年11月份之间深交所和上交所包含具体时间的交易和报价。我们对数据进行了过滤。首先，我们将样本数据限制为在此时间内在 A 股和 B 股市场都有交易发生的公司，这样一来将公司数目由1000缩减为84。其次，我们排除了8家公司，因为他们在 B 股市场的只进行了短短数天的交易。再次，对于剩余的76家公司，我们将它们因为外部原因，在 A 股或者B 股市场交易量都非常小的日期排除在外。第四，我们将陈旧报价排除在外，它们很容易识别，因为深度为0。第五，样本中还排除了每个交
3、易时段最初的15分钟和最后15分钟的交易数据。A. Data and Preliminary StatisticsThe trading processes for A- (local) and B- (foreign) shares on the ShanghaiStock Exchange (SHSE) and the Shenzhen Stock Exchange (SZSE) are similar.Both exchanges run order-driven, automated markets. Neither exchange hasdesignated market make
4、rs. Traders can only submit limit orders, which arriveat an electronic consolidated open limit order book (COLOB). An incoming orderis automatically matched against the best standing limit order in the COLOB,according to the price-time priority principle. If it cannot be matched, then itis added to
5、the COLOB. There is no block trading system that allows liquiditytraders to trade large volumes in an upstairs market. Off-exchange tradingand insider trading are both forbidden, but this is not tightly monitored. Theminimum trade size is 100 shares for local shares in both markets, but 1,000shares
6、for Shanghai foreign shares and 100 shares for Shenzhen foreign shares.Our data consist of all time-stamped trades and quotes from January 2000to November 2001 for all stocks traded on the SHSE and the SZSE.7 We applya number of filters to our data. First, we limit the sample to firms that tradedA-
7、and B-shares throughout the sample period, thereby reducing the numberof firms from over 1,000 to 84. Second, we exclude eight firms, because onlyfor a few days we find nonzero volume in the B-share market. Third, for theremaining 76 firms, we remove days for which, for exogenous reasons, therewas n
8、o or very limited trading in either the A- or the B-share market.8 Fourth,we remove stale quotes, which are easily recognized through zero depth. Fifth,the first and last 15 minutes of each trading session are removed from thesample.表 I 提供了 A 股和 B 股在2000年1月至12月这一区间内的交易数据。在此期间内，两股市场是完全分隔开的。表中列出了76支股票
9、的交叉截面平均值，标准差和最大和最小交易量。为了便于比较，B 股的报价和交易数据(深交所以港币计算，上交所以美元计算)被转换成了人民币计算，汇率所采用的是样本时间内的(固定)官方汇率。样本时间内 A 股的平均交易价格为14.29元(1.73美元)，B 股的平均交易价格为3.10元(0.37美元)。这相当于 B 股的平均折价率为72%，与前面的证据一致(详见 Bailey 等人，(1999)。Table I provides trading statistics for the A- and B-shares from January toDecember 2000, a period duri
10、ng which both markets were fully segmented.The table presents the cross-sectional mean, standard deviation, minimum,and maximum based on the 76 sample stocks. For comparison, the trade andquote data for the B-shares (in Hong Kong dollars for SZSE and in U.S. dollarsfor the SHSE) are converted to yua
11、n using the (fixed) official exchange ratefor the sample period. The average trade price in this period is 14.29 yuan($1.73) for A-shares and 3.10 yuan ($0.37) for B-shares. This corresponds to anaverage B-share discount of 72%, which is in line with previous evidence (see,e.g., Bailey et al. (1999)
12、.关于交易量，B 股平均每天的交易量为 A 股市场的一半左右，B 股平均每天的交易量为854,000，而 A 股为1,684,000。正如人们预料的那样，A 股市场的交易更加频繁。但是，我们发现，尽管 A 股市场的交易较为频繁，它的交易规模反而比 B 股市场要小。这突出体现了我们在价差分解分析中控制交易规模的重要性。尽管 A 股和 B 股的平均报价差距分别为0.027元和0.035元，但这个差距在传统的置信水平上并不明显。两个市场的有效价差都等于0.035元。In terms of volume, the B-share market is about half the size of the
13、 A-sharemarketan average of 854,000 versus 1,684,000 shares per day. The A-sharemarket is more actively traded, as expected. Furthermore, we find that whilethe trading frequency is higher in the A-share market, the transaction sizeis lower. This highlights the importance of controlling for trade siz
14、e in ourspread decomposition analysis. Although the average quoted spread is 0.027yuan for A-shares and 0.035 yuan for B-shares, this difference is not significantat conventional confidence levels. The effective spreads in the two markets areboth equal to 0.035 yuan.B.初步分析对信息不对称的测量结果在本小节中，我们估算了价格冲击系
15、数(PI)，逆向选择成分(AS)以及知情交易措施(PIN)的可能性，我们同时研究了是否这些信息不对称的测量结果在交叉截面上是否同展示出最强信息不对称现象的股票相符合。然后，我们将这些措施同外资股的折价进行了关联。在准备用于估算价格冲击系数和逆向选择成分的数据时，我们效仿了 Glosten 和Harris(1988)，将交易规模限制在10万股，以避免大宗交易所占比重过多。A 股市场和 B股市场的中位数阶段频率分别为0.28%和1.55%。这很可能是由于 B 股市场有组织的集体投资者进行较大规模交易造成的结果。我们也试着将交易规模分别限制为20万股和40万股，所得到的结果总体上相似。B. Prel
16、iminary Analysis of Information Asymmetry MeasuresIn this subsection, we estimate the price impact coefficients (PI), adverseselection components (AS), and the probability of informed trading (PIN)measures, and we study whether these information asymmetry measures agree,cross-sectionally, as to whic
17、h securities exhibit the highest information asymmetry.We then relate these measures to the foreign share discount.In preparing the data for the estimation of PI and AS, we follow Glosten andHarris (1988) and truncate the trade size to 100,000 shares to avoid giving toomuch weight to large trades. T
18、he median truncation frequency is 0.28% and1.55% for the A- and B-share market, respectively. This is most likely the resultof more institutional investors who trade in larger sizes, in the B-share market.We also truncate the trade size to 200,000 and 400,000 shares and find thatthe results are gene
19、rally similar.表 II 中的 A 部分包含了我们对于76支 A，B 股价格冲击系数的估算。 和 的凭估计值为9.66 107元每股，A 股市场为8.58 103元，B 股市场为2.61 107 and 6.35 103元。因此，尽管 A 股的交易量大于 B 股(见表 I)，A 股的深度其实比 B 股要低。这个结果很有趣，因为它表明不可将流动性与交易规模等同起来。因此，像我们在第二部分提出的模型一样，即使不考虑交易规模，A 股市场和 B 股市场信息不对称程度的差异也会导致其市场深度的不同。这是为什么在控制交易活动之后，我们对信息不对称的测量结果解释 B 股折价率的程度进行了回归分析
20、测试。Panel A of Table II contains estimates of the price impact coefficients for the76 A- and B-shares. The mean estimates of and are 9.66 107 yuan pershare and 8.58 103 yuan for the A-share market, and 2.61 107 and 6.35 103 for the B-share market. Therefore, although A-share volume is higherthan B-sh
21、are volume (see Table I), A-share depth is actually lower than B-sharedepth. This result is interesting as it shows that one should not equate liquiditywith trading volume. Thus, consistent with our model in Section II, even withouttrading volume consideration, the information asymmetry between A- a
22、ndB-share markets could cause their market depths to be different. This motivateswhy in subsequent regression analyses we test the extent to which our informationasymmetry measures explain the B-share discount after controlling fortrading activity.表 II 中的 B 部分包含了76支股票在价差的逆向选择成分固定及可变的情况下交叉截面数据，同时也包含了
23、76支股票的毛利润的交叉截面数据。逆向选择成分系数，z0 和 z1非常重要，它们包含了人们对于 A 股市场76支股票的预期和 B 股市场大部分股票(分别为66和61)的预期。先前文献中指出逆向选择的花费是同交易规模一起增长的价差的重要组成部分，此处的数据与此论断一致。固定毛利系数，c0也很重要，它反映了人们对于 A 股所有股票的预期和对于 B 股市场中67支股票的预期。Panel B of Table II contains cross-sectional statistics on the fixed and variableadverse selection component (AS)
24、of the spread and on gross profit for the 76A- and B-shares. The AS component coefficients, z0 and z1, are significant, andcarry the expected sign for all of the 76 securities in the A-share market andfor almost all (66 and 61, respectively) of the securities in the B-share market.This evidence is c
25、onsistent with previous literature in that the cost of adverseselection is a significant component of the spread that increases with the sizeof the transaction. The fixed gross profit coefficients, c0, are significant, andcarry the expected sign for all of the securities in the A-share market and fo
26、r 67of the securities in the B-share market.可变毛利系数，c1，能够反映 A 股中的55支股票，但仅对 B 股市场中的4支股票具有意义。B 部分中的最后一栏反映了中等规模交易中的逆向选择成分。与我们对于 PI 的估算相一致，我们发现 A 股市场的平均逆向选择成分比 B 股市场要大，分别为56.4 104 元和 46.8 104元。在估算 A 股市场和 B 股市场价格冲击系数和逆向选择成分时，我们遇到的一个问题是 B 股市场的交易频率要低于 A 股市场。除了在在逐笔交易数据的基础上估算逆向选择成分之外，我们也在固定时间段的基础上对其进行了估算。例如，以
27、15分钟为一个时间段，t1到 t 指的是价格在这15分钟内发生的变化，V(t)为15分钟内订单净流量的绝对值，Q(t)根据净流量值的正负分别定义为1或-1。总体来说，我们发现在后续的回归分析中将这些数值代入公式，最终得到的结果在本质上是相似的。The variable gross profit coefficients, c1, are significant for 55 of the securities in the A-share market and for only 4of the securities in the B-share market. The last column
28、in Panel B reports theAS component for a median-sized trade. Consistent with the PI estimate, wefind that the average AS component is larger in the A-share market than in theB-share market, with values of 56.4 104 and 46.8 104 yuan, respectively.A problem in estimating PI and the AS component for th
29、e two markets isthat there is a lower trade frequency for B-shares as compared to A-shares. Inaddition to estimating the AS component based on trade-by-trade data, we alsoestimate based on fixed-length intervals. For instance, in the case of 15 minutes,price change from t 1 to t is measured as the p
30、rice change over the 15-minuteinterval, V(t) is defined as the absolute value of net order flow in the 15-minuteinterval t, and Q(t) is defined as 1 or 1 depending on whether the net orderflow is positive or negative in the 15-minute interval t. In general, we findthat using alternative estimates of
31、 PI and the AS component in our subsequentregression analyses produces qualitatively similar results.表 II 中的 C 部分提供了 PIN 模型参数估计的交叉截面统计数据。我们再一次发现 A股中存在知情交易商的证据，此类交易商的平均达到率, ,为0.38这与非知情交易商(0.44)和卖方(0,51)的到达率在数值上较为接近。而在 B 股市场，知情交易商的平均到达率较低，为0.11，这同 B 股市场非知情交易商(0.06)和卖方(0.07)的数值也是比较接近的。A 股市场中某天的知情交易发生率，
32、0.36也要高于 B 股市场的0.31。这同 A 股市场存在较多内幕操作是相符合的。然而，B 股市场的 PIN 测量结果的平均水平要高于 A 股市场，因为 B 股市场中非知情交易的数目相对较少。所有参数中，除了代表了坏消息出现频率的 之外，其他参数同大多数股票的表现都相吻合。Panel C of Table II presents cross-sectional statistics on the parameter estimates of the PIN model. Again, we find considerable evidence for privatelyinformed tr
33、aders in the A-share market, as the average arrival rate of thesetypes of traders, , is 0.38, which is of the same level of magnitude as the arrivalrates of uninformed buyers (0.44) and sellers (0.51). The arrival rate ofinformed traders in the B-share market is lower at 0.11, and again is of thesam
34、e level of magnitude as the arrival rates of uninformed buyers (0.06) andsellers (0.07) in this market. The probability of an information event on a specificday, , is higher in the A-share market than in the B-share market, withrates of 0.36 versus 0.31, respectively. This is consistent with the exi
35、stence ofmore information in the A-share market. However, the average level of the PINmeasure is higher in the B-share market, as this market exhibits a relativelylow number of uninformed trades. All parameters are significant for the majorityof the securities except for the parameter , which is the
36、 probability of thenews being bad news.我们通过验证信息不对称性的不同方面的测量结果是否能够在交叉横截面上同信息不对称性最强的股票相吻合来对不同的测量方面进行比较。图4采用散布式绘图法描绘了 A 股和 B 股市场上差价的逆向选择成分相对于价格冲击和 PIN 的关系。这些图形表明，A 股市场中测量结果之间的关系较 B 股市场更强，A，B 股市场中的相关性分别为89%和59%，B 股市场中的相关性明显弱很多。We compare our measures of information asymmetry by verifying whetherthey agr
37、ee cross-sectionally as to which securities exhibit the most informationasymmetry. Figure 4 presents scatterplots of the AS component of the spread(for a median-sized trade) against PI and the PIN for both the A- and B-sharemarkets. These plots suggest a stronger relationship between the measuresin
38、the A-share market, with correlations of 89% and 59%, respectively. Therelationship in the B-share market is much weaker.最终，散布式分析表明 B 股市场折价率的变化可以用信息不对称的测量进行解释。图5反映了 A 股市场和 B 股市场相比较的情况下，外股折价率同信息不对称测量结果差别(PI, 逆向选择成分，和 PIN)之间的关系。对于所有的测量方面而言，我们发现信息不对称程度较高的股票其 B 股的折价越高。三种信息不对称的测量方面和折价率的相关性分别为 PI, 66%,AS
39、67%, PIN 28%, 此结果在1%和5%的层面的数据都具有意义。Finally, scatterplot analysis reveals that the B-share discount appears to beexplained by the proposed information asymmetry measures. Figure 5 plotsforeign share discounts against the differentials of the information asymmetrymeasures in the A-share market relativ
40、e to the B-share market, as measuredby PI, the AS component, or the PIN. For all measures, we find that stockswith relatively higher information asymmetry appear to command higher Bsharediscounts. The correlations between the three information asymmetrymeasures and the discounts are 66% for PI, 67%
41、for AS, and 28% for PIN, andare statistically significant at either the 1% or 5% level.D.B 股市场向国内投资者开放之后的变化2001年3月，管理者向国内投资者开放了 B 股市场。我们利用这个管理上的变化进一步在两方面测试了我们关于信息不对称的假设。首先，我们预期到 B 股折价率将降低，或者消失，更重要的是，我们预期此次时间后，我们对于 B 股市场信息不对称的测量结果将上涨，即 B 股市场的信息不对称现象将增多，因为有较好信息来源的国内投资者开始涌入了B 股市场。第二，我们对一个新的样本时段再次进行了截面回
42、归分析，并以此作为稳健性的测试。我们分析了从2001年4月至11月这一时间段内相同的76支股票。D. Changes After the B-Share Market Was Opened Up to Local InvestorsIn March 2001, regulators opened the B-share market to domestic investors.We use this regulatory change event to further test our information asymmetryhypothesis in two ways. First, we
43、 expect B-share discounts to shrink or vanishand, more important, our information asymmetry measures to increase for theB-share market after this event, because better-informed domestic investors arenow allowed to participate in this market. Second, we repeat our cross-sectionalregressions for the n
44、ew sample period as a robustness test.We analyze the same76 stocks for the sample period of April to November 2001.我们发现，同我们的假设相一致，B 股市场同未开放之前相比较，折价水平由原来的72%降至43%，知情交易的数目有所上涨。折价水平缓慢而非突然降低的主要原因在于国内投资者手中外币的缺乏。表格 V 中的 A 部分展示了 B 股开放前和开放后 PI 的估计值，可以发现，PI 值几乎翻倍(增长了81%)，由开放前的2.6增长到了4.6。 与之相比，A 股市场的增长值则要小的多，
45、仅为21%。这个结果同 B 股市场有大量知情交易者涌入是相吻合的。B 部分是基于逆向选择成分的价差，它也正是了这些结果。国内投资者允许进入 B 古市场之后，对于 B 股市场而言，固定逆向选择成分(z0)和可变逆向选择成分(z1)都有较大的增长，涨幅分别为52%和102%。We find that, consistent with our hypothesis, the discount levels decreasefrom an average of 72% to 43%, and the level of informed trading in the Bsharemarket incre
46、ases compared with the model estimates for the preeventperiod. The main reason for this gradual, rather than sudden, decline in discountsis the lack of foreign currency among domestic investors. Panel A inTable V presents pre- and postentry estimates of PI, and shows that PI almostdoubles (+81%) for
47、 the B-share market from 2.6 preentry to 4.7 postentry. Thisincrease is larger than the 21% increase in the A-share market and is thereforeconsistent with the arrival of better-informed domestic investors in theB-share market. Panel B confirms these results based on the AS component ofthe spread. Fo
48、r both the fixed (z0) and the variable (z1) AS component, we findconsiderable increases in the B-share market of 52% and 101%, respectively,after domestic investors were allowed to enter into this market.我们发现，中等规模交易的逆向选择成分由原来的46.8分增长到了67.4分，涨幅为44%。这个涨幅也大于 A 股市场相应的涨幅，因此同 PI 变化相一致。表格 V 中的 C 部分反映了 B股市场
49、中，知情投资者的到达率增长了164%，而在 A 股市场，该数值减少了29%。更进一步的证据是，B 股市场知情交易的可能性由0.31增长到0.42，而 A 股市场仅仅有0.36增长到了9.38。尽管如此，PIN 的测量值在两个市场都没有发生很大的变化，因为知情交易者的到达率同非知情交易者的到达率在变化上基本保持了一致。在 B 股市场开放之前，用测量信息不对称的方式对外股折价进行回归分析所得到的结果同先前的发现一致。表6展示了 PI,AS 和 PIN 的测量结果，并排除了管制因素。在所有的分析中，信息不对称测量值的相关性都为正，PI 和逆向选择成分测量值分别能够解释61%和71%的 B 股市场折价的变化。We find thatthe AS component for median-sized trades increases by 44% from 46.8 cents to67.4 cents. This increase is again larger than the increase in the A-share marketand thus consistent with the PI findings. Panel C of Table V reveals thatt
