| 交叉上市公司跨市套利投资策略实证研究 |
| Empirical Research on Cross Market Arbitrage Investment Strategy of Cross-listing Company |
| 投稿时间：2010-12-07 |
| 中文关键词:交叉上市 价格差异 投资策略 跨市套利 |
| 英文关键词:cross-listings the price difference investment strategy cross market arbitrage |
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| 中文摘要: |
| 当资本市场处于分割状态时,交叉上市的同一家上市公司的股票通常存在着同股不同价现象。针对此价差的问题,本研究将探讨若以此价差作为投资策略基础,在不考虑交易成本及市场上无放空限制的情境下,是否可以产生套利机会。实证结果显示利用两股价的价差问题作投资策略,确实可以得到套利利润。 |
| 英文摘要: |
| While the capital market is in segmentation condition, the same company cross- listed in the stock market may have different price for a unit share. In view of this problem, with the price difference taken as the basis for investment strategy, this paper explores whether arbitrage opportunities can be produced without considering the transaction cost in a market without emptying restriction. The empirical results show that investment strategies using two stock prices can really get arbitrage profits. |
| 高礼彦,蒋屏法.交叉上市公司跨市套利投资策略实证研究[J].石家庄铁道大学学报(社会科学版),20115(1):27-34,86. |
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