1、<p>　　上海證券交易所A股和B股區(qū)別論文翻譯（中英文對照） </p><p>　　A. Data and Preliminary Statistics</p><p>　　The trading processes for A- (local) and B- (foreign) shares on the Shanghai Stock Exchange (SHSE) and

2、the Shenzhen Stock Exchange (SZSE) are similar. Both exchanges run order-driven, automated markets. Neither exchange has designated market makers. Traders can only submit limit orders, which arrive at an electronic conso

3、lidated open limit order book (COLOB). An incoming order is automatically matched against the best standing limit order in the COLOB, according to the price-time priority princi</p><p>　　shares for Shanghai

4、foreign shares and 100 shares for Shenzhen foreign shares.</p><p>　　Our data consist of all time-stamped trades and quotes from January 2000</p><p>　　to November 2001 for all stocks traded on th

5、e SHSE and the SZSE.7 We apply</p><p>　　a number of filters to our data. First, we limit the sample to firms that traded</p><p>　　A- and B-shares throughout the sample period, thereby reducing t

6、he number</p><p>　　of firms from over 1,000 to 84. Second, we exclude eight firms, because only</p><p>　　for a few days we find nonzero volume in the B-share market. Third, for the</p>&l

7、t;p>　　remaining 76 firms, we remove days for which, for exogenous reasons, there</p><p>　　was no or very limited trading in either the A- or the B-share market.8 Fourth,</p><p>　　we remove st

8、ale quotes, which are easily recognized through zero depth. Fifth,</p><p>　　the first and last 15 minutes of each trading session are removed from the</p><p><b>　　sample.</b></p&g

9、t;<p><b>　　A.數(shù)據(jù)和初步統(tǒng)計</b></p><p>　　A股和B股在上海證券交易所和深圳證券交易所的交易程序都是類似的。二者的交易都是以買賣盤帶動，且都使用電腦進行自動化交易。二者都沒有指定的做市商。而且，交易者只能通過一個開放的電子綜合限價書（COLOB）來提交限價購買委托書。按照時間和價格優(yōu)先的原則，買入委托單會自動和COLOB中最佳的限價單進行匹配。如果不

10、能匹配，則會將買入委托單加入到COLOB中。</p><p>　　并不存在大宗交易系統(tǒng)允許流動交易者在上層市場進行大宗交易。場外交易和知情交易都是被禁止的，但檢測系統(tǒng)并不十分嚴格。上交所和深交所的最低A股交易額均為100股，但上交所最低B股交易額為1000股，深交所為100股。我們的數(shù)據(jù)包含了從2000年1月份到2001年11月份之間深交所和上交所包含具體時間的交易和報價。我們對數(shù)據(jù)進行了過濾。首先，我們將樣本數(shù)

11、據(jù)限制為在此時間內(nèi)在A股和B股市場都有交易發(fā)生的公司，這樣一來將公司數(shù)目由1000縮減為84。其次，我們排除了8家公司，因為他們在B股市場的只進行了短短數(shù)天的交易。再次，對于剩余的76家公司，我們將它們因為外部原因，在A股或者B股市場交易量都非常小的日期排除在外。第四，我們將陳舊報價排除在外，它們很容易識別，因為深度為0。第五，樣本中還排除了每個交易時段最初的15分鐘和最后15分鐘的交易數(shù)據(jù)。</p><p>　

12、　Table I provides trading statistics for the A- and B-shares from January to</p><p>　　December 2000, a period during which both markets were fully segmented.</p><p>　　The table presents the cros

13、s-sectional mean, standard deviation, minimum,</p><p>　　and maximum based on the 76 sample stocks. For comparison, the trade and</p><p>　　quote data for the B-shares (in Hong Kong dollars for SZ

14、SE and in U.S. dollars</p><p>　　for the SHSE) are converted to yuan using the (fixed) official exchange rate</p><p>　　for the sample period. The average trade price in this period is 14.29 yuan&

15、lt;/p><p>　　($1.73) for A-shares and 3.10 yuan ($0.37) for B-shares. This corresponds to an</p><p>　　average B-share discount of 72%, which is in line with previous evidence (see,</p><p&

16、gt;　　e.g., Bailey et al. (1999)).</p><p>　　表I 提供了A股和B股在2000年1月至12月這一區(qū)間內(nèi)的交易數(shù)據(jù)。在此期間內(nèi)，兩股市場是完全分隔開的。表中列出了76支股票的交叉截面平均值，標準差和最大和最小交易量。為了便于比較，B股的報價和交易數(shù)據(jù)（深交所以港幣計算，上交所以美元計算）被轉(zhuǎn)換成了人民幣計算，匯率所采用的是樣本時間內(nèi)的（固定）官方匯率。樣本時間內(nèi)A股的平均交

17、易價格為14.29元（1.73美元），B股的平均交易價格為3.10元（0.37美元）。這相當于B股的平均折價率為72%，與前面的證據(jù)一致（詳見Bailey 等人，（1999））。</p><p>　　In terms of volume, the B-share market is about half the size of the A-share</p><p>　　market—an

18、 average of 854,000 versus 1,684,000 shares per day. The A-share</p><p>　　market is more actively traded, as expected. Furthermore, we find that while</p><p>　　the trading frequency is higher in

19、 the A-share market, the transaction size</p><p>　　is lower. This highlights the importance of controlling for trade size in our</p><p>　　spread decomposition analysis. Although the average quot

20、ed spread is 0.027</p><p>　　yuan for A-shares and 0.035 yuan for B-shares, this difference is not significant</p><p>　　at conventional confidence levels. The effective spreads in the two markets

21、 are</p><p>　　both equal to 0.035 yuan.</p><p>　　關(guān)于交易量，B股平均每天的交易量為A股市場的一半左右，B股平均每天的交易量為854,000，而A股為1,684,000。正如人們預料的那樣，A股市場的交易更加頻繁。但是，我們發(fā)現(xiàn)，盡管A股市場的交易較為頻繁，它的交易規(guī)模反而比B股市場要小。這突出體現(xiàn)了我們在價差分解分析中控制交易規(guī)模的重要

22、性。盡管A股和B股的平均報價差距分別為0.027元和0.035元，但這個差距在傳統(tǒng)的置信水平上并不明顯。兩個市場的有效價差都等于0.035元。</p><p>　　B. Preliminary Analysis of Information Asymmetry Measures</p><p>　　In this subsection, we estimate the price impa

23、ct coefficients (PI), adverse</p><p>　　selection components (AS), and the probability of informed trading (PIN)</p><p>　　measures, and we study whether these information asymmetry measures agree

24、,</p><p>　　cross-sectionally, as to which securities exhibit the highest information asymmetry.</p><p>　　We then relate these measures to the foreign share discount.</p><p>　　In pre

25、paring the data for the estimation of PI and AS, we follow Glosten and</p><p>　　Harris (1988) and truncate the trade size to 100,000 shares to avoid giving too</p><p>　　much weight to large trad

26、es. The median truncation frequency is 0.28% and</p><p>　　1.55% for the A- and B-share market, respectively. This is most likely the result</p><p>　　of more institutional investors who trade in

27、larger sizes, in the B-share market.</p><p>　　We also truncate the trade size to 200,000 and 400,000 shares and find that</p><p>　　the results are generally similar.</p><p>　　B．初步分析

28、對信息不對稱的測量結(jié)果</p><p>　　在本小節(jié)中，我們估算了價格沖擊系數(shù)（PI），逆向選擇成分（AS）以及知情交易措施（PIN）的可能性，我們同時研究了是否這些信息不對稱的測量結(jié)果在交叉截面上是否同展示出最強信息不對稱現(xiàn)象的股票相符合。然后，我們將這些措施同外資股的折價進行了關(guān)聯(lián)。</p><p>　　在準備用于估算價格沖擊系數(shù)和逆向選擇成分的數(shù)據(jù)時，我們效仿了Glosten和Har

29、ris（1988），將交易規(guī)模限制在10萬股，以避免大宗交易所占比重過多。A股市場和B股市場的中位數(shù)階段頻率分別為0.28%和1.55%。這很可能是由于B股市場有組織的集體投資者進行較大規(guī)模交易造成的結(jié)果。我們也試著將交易規(guī)模分別限制為20萬股和40萬股，所得到的結(jié)果總體上相似。</p><p>　　Panel A of Table II contains estimates of the price impac

30、t coefficients for the</p><p>　　76 A- and B-shares. The mean estimates of γ and φ are 9.66 × 10?7 yuan per</p><p>　　share and 8.58 × 10?3 yuan for the A-share market, and 2.61 × 1

31、0?7 and 6.35</p><p>　　× 10?3 for the B-share market. Therefore, although A-share volume is higher</p><p>　　than B-share volume (see Table I), A-share depth is actually lower than B-share<

32、;/p><p>　　depth. This result is interesting as it shows that one should not equate liquidity</p><p>　　with trading volume. Thus, consistent with our model in Section II, even without</p><

33、;p>　　trading volume consideration, the information asymmetry between A- and</p><p>　　B-share markets could cause their market depths to be different. This motivates</p><p>　　why in subsequent

34、 regression analyses we test the extent to which our information</p><p>　　asymmetry measures explain the B-share discount after controlling for</p><p>　　trading activity.</p><p>　　表

35、II中的A部分包含了我們對于76支A，B股價格沖擊系數(shù)的估算。γ 和 φ的憑估計值為9.66 × 10?7元每股，A股市場為8.58 × 10?3元，B股市場為2.61× 10?7 and 6.35× 10?3元。因此，盡管A股的交易量大于B股（見表I），A股的深度其實比B股要低。這個結(jié)果很有趣，因為它表明不可將流動性與交易規(guī)模等同起來。因此，像我們在第二部分提出的模型一樣，即使不考慮交易規(guī)模，A

36、股市場和B股市場信息不對稱程度的差異也會導致其市場深度的不同。這是為什么在控制交易活動之后，我們對信息不對稱的測量結(jié)果解釋B股折價率的程度進行了回歸分析測試。</p><p>　　Panel B of Table II contains cross-sectional statistics on the fixed and variable</p><p>　　adverse select

37、ion component (AS) of the spread and on gross profit for the 76</p><p>　　A- and B-shares. The AS component coefficients, z0 and z1, are significant, and</p><p>　　carry the expected sign for all

38、of the 76 securities in the A-share market and</p><p>　　for almost all (66 and 61, respectively) of the securities in the B-share market.</p><p>　　This evidence is consistent with previous liter

39、ature in that the cost of adverse</p><p>　　selection is a significant component of the spread that increases with the size</p><p>　　of the transaction. The fixed gross profit coefficients, c0, a

40、re significant, and</p><p>　　carry the expected sign for all of the securities in the A-share market and for 67</p><p>　　of the securities in the B-share market. </p><p>　　表II中的B部分包

41、含了76支股票在價差的逆向選擇成分固定及可變的情況下交叉截面數(shù)據(jù)，同時也包含了76支股票的毛利潤的交叉截面數(shù)據(jù)。逆向選擇成分系數(shù)，z0 和z1非常重要，它們包含了人們對于A股市場76支股票的預期和B股市場大部分股票（分別為66和61）的預期。先前文獻中指出逆向選擇的花費是同交易規(guī)模一起增長的價差的重要組成部分，此處的數(shù)據(jù)與此論斷一致。固定毛利系數(shù)，c0也很重要，它反映了人們對于A股所有股票的預期和對于B股市場中67支股票的預期。 <

42、;/p><p>　　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 in Panel B reports the

43、</p><p>　　AS component for a median-sized trade. Consistent with the PI estimate, we</p><p>　　find that the average AS component is larger in the A-share market than in the</p><p>　

44、　B-share market, with values of 56.4 × 10?4 and 46.8 × 10?4 yuan, respectively.</p><p>　　A problem in estimating PI and the AS component for the two markets is</p><p>　　that there is a

45、 lower trade frequency for B-shares as compared to A-shares. In</p><p>　　addition to estimating the AS component based on trade-by-trade data, we also</p><p>　　estimate based on fixed-length int

46、ervals. For instance, in the case of 15 minutes,</p><p>　　price change from t – 1 to t is measured as the price change over the 15-minute</p><p>　　interval, V(t) is defined as the absolute value

47、 of net order flow in the 15-minute</p><p>　　interval t, and Q(t) is defined as 1 or –1 depending on whether the net order</p><p>　　flow is positive or negative in the 15-minute interval t. In g

48、eneral, we find</p><p>　　that using alternative estimates of PI and the AS component in our subsequent</p><p>　　regression analyses produces qualitatively similar results.</p><p>　　

49、可變毛利系數(shù)，c1，能夠反映A股中的55支股票，但僅對B股市場中的4支股票具有意義。B部分中的最后一欄反映了中等規(guī)模交易中的逆向選擇成分。與我們對于PI的估算相一致，我們發(fā)現(xiàn)A股市場的平均逆向選擇成分比B股市場要大，分別為56.4 × 10?4 元和 46.8 × 10?4元。在估算A股市場和B股市場價格沖擊系數(shù)和逆向選擇成分時，我們遇到的一個問題是B股市場的交易頻率要低于A股市場。除了在在逐筆交易數(shù)據(jù)的基礎(chǔ)上估算逆

50、向選擇成分之外，我們也在固定時間段的基礎(chǔ)上對其進行了估算。例如，以15分鐘為一個時間段，t1到t指的是價格在這15分鐘內(nèi)發(fā)生的變化，V（t）為15分鐘內(nèi)訂單凈流量的絕對值，Q（t）根據(jù)凈流量值的正負分別定義為1或-1?？傮w來說，我們發(fā)現(xiàn)在后續(xù)的回歸分析中將這些數(shù)值代入公式，最終得到的結(jié)果在本質(zhì)上是相似的。</p><p>　　Panel C of Table II presents cross-sectional

51、 statistics on the parameter estimates of the PIN model. Again, we find considerable evidence for privately</p><p>　　informed traders in the A-share market, as the average arrival rate of these</p>&l

52、t;p>　　types of traders, μ, is 0.38, which is of the same level of magnitude as the arrival</p><p>　　rates of uninformed buyers (0.44) and sellers (0.51). The arrival rate of</p><p>　　informed

53、 traders in the B-share market is lower at 0.11, and again is of the</p><p>　　same level of magnitude as the arrival rates of uninformed buyers (0.06) and</p><p>　　sellers (0.07) in this market.

54、 The probability of an information event on a specific</p><p>　　day, α, is higher in the A-share market than in the B-share market, with</p><p>　　rates of 0.36 versus 0.31, respectively. This is

55、 consistent with the existence of</p><p>　　more information in the A-share market. However, the average level of the PIN</p><p>　　measure is higher in the B-share market, as this market exhibits

56、 a relatively</p><p>　　low number of uninformed trades. All parameters are significant for the majority</p><p>　　of the securities except for the parameter δ, which is the probability of the<

57、/p><p>　　news being bad news.</p><p>　　表II中的C部分提供了PIN模型參數(shù)估計的交叉截面統(tǒng)計數(shù)據(jù)。我們再一次發(fā)現(xiàn)A股中存在知情交易商的證據(jù)，此類交易商的平均達到率, μ,為0.38這與非知情交易商（0.44）和賣方（0,51）的到達率在數(shù)值上較為接近。而在B股市場，知情交易商的平均到達率較低，為0.11，這同B股市場非知情交易商（0.06）和賣方（0.

58、07）的數(shù)值也是比較接近的。A股市場中某天的知情交易發(fā)生率，α，0.36也要高于B股市場的0.31。這同A股市場存在較多內(nèi)幕操作是相符合的。然而，B股市場的PIN測量結(jié)果的平均水平要高于A股市場，因為B股市場中非知情交易的數(shù)目相對較少。所有參數(shù)中，除了代表了壞消息出現(xiàn)頻率的δ之外，其他參數(shù)同大多數(shù)股票的表現(xiàn)都相吻合。</p><p>　　We compare our measures of information

59、 asymmetry by verifying whether</p><p>　　they agree cross-sectionally as to which securities exhibit the most information</p><p>　　asymmetry. Figure 4 presents scatterplots of the AS component o

60、f the spread</p><p>　　(for a median-sized trade) against PI and the PIN for both the A- and B-share</p><p>　　markets. These plots suggest a stronger relationship between the measures</p>

61、<p>　　in the A-share market, with correlations of 89% and 59%, respectively. The</p><p>　　relationship in the B-share market is much weaker.</p><p>　　我們通過驗證信息不對稱性的不同方面的測量結(jié)果是否能夠在交叉橫截面上同信息不對稱

62、性最強的股票相吻合來對不同的測量方面進行比較。圖4采用散布式繪圖法描繪了A股和B股市場上差價的逆向選擇成分相對于價格沖擊和PIN的關(guān)系。這些圖形表明，A股市場中測量結(jié)果之間的關(guān)系較B股市場更強，A，B股市場中的相關(guān)性分別為89%和59%，B股市場中的相關(guān)性明顯弱很多。</p><p>　　Finally, scatterplot analysis reveals that the B-share discount

63、 appears to be</p><p>　　explained by the proposed information asymmetry measures. Figure 5 plots</p><p>　　foreign share discounts against the differentials of the information asymmetry</p>

64、<p>　　measures in the A-share market relative to the B-share market, as measured</p><p>　　by PI, the AS component, or the PIN. For all measures, we find that stocks</p><p>　　with relative

65、ly higher information asymmetry appear to command higher Bshare</p><p>　　discounts. The correlations between the three information asymmetry</p><p>　　measures and the discounts are 66% for PI, 6

66、7% for AS, and 28% for PIN, and</p><p>　　are statistically significant at either the 1% or 5% level.</p><p>　　最終，散布式分析表明B股市場折價率的變化可以用信息不對稱的測量進行解釋。圖5反映了A股市場和B股市場相比較的情況下，外股折價率同信息不對稱測量結(jié)果差別（PI, 逆向選擇

67、成分，和PIN）之間的關(guān)系。對于所有的測量方面而言，我們發(fā)現(xiàn)信息不對稱程度較高的股票其B股的折價越高。三種信息不對稱的測量方面和折價率的相關(guān)性分別為PI, 66%,AS 67%, PIN 28%, 此結(jié)果在1%和5%的層面的數(shù)據(jù)都具有意義。</p><p>　　D. Changes After the B-Share Market Was Opened Up to Local Investors</p>

68、;<p>　　In March 2001, regulators opened the B-share market to domestic investors.</p><p>　　We use this regulatory change event to further test our information asymmetry</p><p>　　hypothesi

69、s in two ways. First, we expect B-share discounts to shrink or vanish</p><p>　　and, more important, our information asymmetry measures to increase for the</p><p>　　B-share market after this even

70、t, because better-informed domestic investors are</p><p>　　now allowed to participate in this market. Second, we repeat our cross-sectional</p><p>　　regressions for the new sample period as a ro

71、bustness test.We analyze the same</p><p>　　76 stocks for the sample period of April to November 2001.</p><p>　　D．B股市場向國內(nèi)投資者開放之后的變化</p><p>　　2001年3月，管理者向國內(nèi)投資者開放了B股市場。我們利用這個管理上的變化進一步在

72、兩方面測試了我們關(guān)于信息不對稱的假設(shè)。首先，我們預期到B股折價率將降低，或者消失，更重要的是，我們預期此次時間后，我們對于B股市場信息不對稱的測量結(jié)果將上漲，即B股市場的信息不對稱現(xiàn)象將增多，因為有較好信息來源的國內(nèi)投資者開始涌入了B股市場。第二，我們對一個新的樣本時段再次進行了截面回歸分析，并以此作為穩(wěn)健性的測試。我們分析了從2001年4月至11月這一時間段內(nèi)相同的76支股票。</p><p>　　We fin

73、d that, consistent with our hypothesis, the discount levels decrease</p><p>　　from an average of 72% to 43%, and the level of informed trading in the Bshare</p><p>　　market increases compared wi

74、th the model estimates for the preevent</p><p>　　period. The main reason for this gradual, rather than sudden, decline in discounts</p><p>　　is the lack of foreign currency among domestic invest

75、ors. Panel A in</p><p>　　Table V presents pre- and postentry estimates of PI, and shows that PI almost</p><p>　　doubles (+81%) for the B-share market from 2.6 preentry to 4.7 postentry. This<

76、/p><p>　　increase is larger than the 21% increase in the A-share market and is therefore</p><p>　　consistent with the arrival of better-informed domestic investors in the</p><p>　　B-sh

77、are market. Panel B confirms these results based on the AS component of</p><p>　　the spread. For both the fixed (z0) and the variable (z1) AS component, we find</p><p>　　considerable increases i

78、n the B-share market of 52% and 101%, respectively,</p><p>　　after domestic investors were allowed to enter into this market. </p><p>　　我們發(fā)現(xiàn)，同我們的假設(shè)相一致，B股市場同未開放之前相比較，折價水平由原來的72%降至43%，知情交易的數(shù)目有所上漲。

79、折價水平緩慢而非突然降低的主要原因在于國內(nèi)投資者手中外幣的缺乏。表格V中的A部分展示了B股開放前和開放后PI的估計值，可以發(fā)現(xiàn)，PI值幾乎翻倍（增長了81%），由開放前的2.6增長到了4.6。 與之相比，A股市場的增長值則要小的多，僅為21%。這個結(jié)果同B股市場有大量知情交易者涌入是相吻合的。B部分是基于逆向選擇成分的價差，它也正是了這些結(jié)果。國內(nèi)投資者允許進入B古市場之后，對于B股市場而言，固定逆向選擇成分（z0）和可變逆向選擇成分（

80、z1）都有較大的增長，漲幅分別為52%和102%。</p><p>　　We find that</p><p>　　the AS component for median-sized trades increases by 44% from 46.8 cents to</p><p>　　67.4 cents. This increase is again lar

81、ger than the increase in the A-share market</p><p>　　and thus consistent with the PI findings. Panel C of Table V reveals that</p><p>　　the arrival rate of informed investors in the B-share mark

82、et increases by 164%.</p><p>　　This rate actually decreases by 29% in the A-share market. Further evidence</p><p>　　of increased information in the B-share market is that the probability of an&l

83、t;/p><p>　　information event increases from 0.31 to 0.42, whereas in the A-share market,</p><p>　　the probability increases only from 0.36 to 0.38. Nevertheless, the level of the</p><p&g

84、t;　　PIN measure does not change much in either market, because the changes in the arrival rate of uninformed traders roughly match those of informed</p><p><b>　　traders.</b></p><p>　

85、　The regressions of the foreign share discount on the information asymmetry</p><p>　　measures and controls in the postevent period are consistent with earlier findings.</p><p>　　Table VI present

86、s the results for PI, AS, and PIN including and excluding</p><p>　　the control variables. In all of the regressions, the information asymmetry measures</p><p>　　are significantly positive, with

87、the PI and AS component measures explaining</p><p>　　61% and 71% of the variation in foreign share discounts, respectively.</p><p>　　我們發(fā)現(xiàn)，中等規(guī)模交易的逆向選擇成分由原來的46.8分增長到了67.4分，漲幅為44%。這個漲幅也大于A股市場相應(yīng)的漲幅，

88、因此同PI變化相一致。表格V中的C部分反映了B股市場中，知情投資者的到達率增長了164%，而在A股市場，該數(shù)值減少了29%。更進一步的證據(jù)是，B股市場知情交易的可能性由0.31增長到0.42，而A股市場僅僅有0.36增長到了9.38。盡管如此，PIN的測量值在兩個市場都沒有發(fā)生很大的變化，因為知情交易者的到達率同非知情交易者的到達率在變化上基本保持了一致。</p><p>　　在B股市場開放之前，用測量信息不對稱

89、的方式對外股折價進行回歸分析所得到的結(jié)果同先前的發(fā)現(xiàn)一致。表6展示了PI,AS和PIN的測量結(jié)果，并排除了管制因素。在所有的分析中，信息不對稱測量值的相關(guān)性都為正，PI和逆向選擇成分測量值分別能夠解釋61%和71%的B股市場折價的變化。</p><p>　　E. Discussion and Interpretation of the Results</p><p>　　Overall,

90、our results provide strong evidence that the information asymmetry</p><p>　　measures, especially the adverse selection component of the bid-ask spread, are</p><p>　　far more important than any o

91、f the control variables in explaining the crosssectional</p><p>　　variation in B-share discounts. Our interpretation is that the information</p><p>　　asymmetry measures reflect the extent of pri

92、vate information available</p><p>　　to domestic investors. When there is a higher degree of information asymmetry,</p><p>　　as measured by a higher price impact coefficient or adverse selection

93、component</p><p>　　in the A-share market than in the B-share market, domestic investors are</p><p>　　more willing to pay a higher price than foreign investors, resulting in B-share</p>&l

94、t;p>　　discounts. However, several issues are worthy of discussion.</p><p>　　E．對結(jié)果的討論和解讀</p><p>　　總體而言，我們的結(jié)果有力的證明了對于信息不對稱性的測量，尤其是對于逆向選擇成分和買賣差價的測量，在解釋B股折價的交叉截面變化時，比任何控制變量都更重要。我們的解釋是，信息不對稱的測量，反映

95、了國內(nèi)投資者能夠得到內(nèi)部消息的程度。當信息不對稱程度越高時，（通常的表現(xiàn)形式為A股市場的價格沖擊系數(shù)和逆向選擇成分比B股市場要高），國內(nèi)投資者越愿意付出比國外投資者更高的價格，由此導致B股折價的產(chǎn)生。然而，尚有一些問題值得討論。</p><p>　　The first issue concerns the type of private information to which we refer. It</

96、p><p>　　is widely believed that Chinese investors trade on rumors rather than fundamentals.</p><p>　　Furthermore, share manipulation is widespread, pushing prices away</p><p>　　from th

97、e intrinsic value for a relatively long time period. Mei et al. (2003) argue</p><p>　　that A-share prices are a reflection of speculative bubbles. Thus, it is not clear</p><p>　　whether our info

98、rmation asymmetry measures reflect fundamental news. Although</p><p>　　we agree with this view of the speculative behavior of investors, we do</p><p>　　not think that it should disqualify our pr

99、ice impact coefficient or adverse selection</p><p>　　component from being effective measures of information asymmetry. </p><p>　　第一個問題是關(guān)于我們所指的內(nèi)部消息的類型。人們廣泛相信，中國投資者在進行投資時更多的相信流言，而非投資的一些基本原則。而且，股票市

100、場的操縱廣泛存在，在相當長的一段時間內(nèi)使股票的價格背離了其本身的價值。Mei等人（2003）稱A股的價格是投機泡沫的反映。因此，我們并不清楚是否我們對于信息不對稱現(xiàn)象的測量反映了最為基礎(chǔ)的消息，而不是那些經(jīng)過層層操縱之后的。盡管我們也承認投機者的存在，但并不認為投機者的存在會導致我們的價格沖擊系數(shù)和逆向選擇成分在測量信息不對稱性時失去其原有的效果。</p><p><b>　　The</b>

101、</p><p>　　difference between the adverse selection component and the gross profit component</p><p>　　of the bid-ask spread is that the adverse selection component reflects</p><p>　　

102、a permanent price change, rather a temporary price change. Therefore, even</p><p>　　for long-term investors, the adverse selection component is always important,</p><p>　　regardless of whether i

103、t reflects fundamental news or rumors. Furthermore,</p><p>　　Chan, Menkveld, and Yang (2007) show that A-share quote revision has predictive</p><p>　　ability for B-share quote revision, but not

104、vice versa. Therefore, even</p><p>　　though A-share prices may not necessarily reflect fundamentals, it appears</p><p>　　that foreign investors also react to the A-share price movement.</p>

105、;<p>　　逆向選擇成分和買賣價差之中的毛利成分之間的差別在于，逆向選擇成分反映了長久的價格變化，而非短暫的就愛個變化。因此，即使是對于長期投資者而言，逆向選擇成分也是非常重要的，不論它反映的究竟是真實的消息，抑或是謠言。而且，Chan，Menkveld 和Yang（2007）指出，A股報價的修正幅度能夠預測B股的報價修正幅度，但反之則不成立。因此，盡管A股價格可能并不能反映真實的消息，外國投資者同樣會依據(jù)A股的價格變動