外文翻译中国股票市场中的国外所有权限制和市场分割

外文题目：Foreign Ownership Restrictions And Market Segmentation In Chinas Stock Markets 出 处：Journal Of Financial Research 作 者：Chen.G. M,Lee.Bong-Soo,Rui.Oliver 原 文：AbstractWe study market segmentation in Chinas stock markets, in which local firms issue two classes of shares: class A shares available only to Chinese citizens and class B shares available only to foreign citizens. Significant stock price discounts are documented for class B shares. We find that the price difference is primarily due to illiquid B-share markets. Relatively illiquid B-share stocks have a higher expected return and are priced lower to compensate investors for increased trading costs. However, between the two classes of shares, B-share prices tend to move more closely with market fundamentals than do A-share prices. Therefore, we find A-share premiums rather than B-share discounts in Chinas markets.I.Introduction We examine the effect of foreigners ownership restrictions on equity prices in China. Recently, the finance literature documents that, with foreign ownership restrictions, a class of shares open to foreigners tends to command higher prices than those open to domestic investors (e.g., Stulz and Wasserfallen (1995), Domowitz, Glen, and Madhavan (1997). An exception is stocks in China, which have received relatively little attention until recently.Hietala (1989) reports a substantial premium for the foreign share price for the Finnish stock market for 1984-85. He derives equilibrium returns when domestic investors are allowed to hold only domestic stocks (restricted Finnish and unrestricted Finnish stocks) and foreign investors are allowed to hold all stocks (foreign stocks and unrestricted Finnish stocks). He shows that in this market setting domestic investors may pay less than foreign investors for domestic stocks. Bailey and Jagtiani (1994) study the effects of capital controls using data from Thailand, which segment local and foreign trading of securities that have reached foreign ownership limits. They find that an average premium of 19 percent exists on the Alien Board of the stock exchange of Thailand and that cross-sectional differences between local and foreign prices are correlated with proxies for the severity of foreign ownership limits, liquidity, and information availability. Stulz and Wasserfallen (1995) find foreign investors pay higher prices for shares than domestic investors do for a sample of nineteen firms listed in Switzerland. Domowitz, Glen, and Madhavan (1997) document significant stock price premiums for B series shares in Mexico, which are not restricted to a particular investor group, and examine the relation between stock prices and market segmentation induced by ownership restrictions.Since the establishment of the Shanghai Stock Exchange (SHSE) on December 19, 1990, and the Shenzhen Stock Exchange (SZSE) on July 3, 1991, Chinas stock markets have expanded rapidly. Some firms issue two types of shares. Class A shares, which are denominated in RMB, are traded among Chinese citizens, and class B shares are traded among non-Chinese citizens or overseas Chinese. Other than segmentation by ownership, these two classes of shares are similar; in particular, owners have equal rights to cash flows and voting privileges.Unlike other countries, there exists a large price discount for B shares (foreign shares) relative to the A shares (domestic shares). Bailey (1994) analyzes eight Chinese B-share stocks from March 1992 through March 1993. He finds a significant discount in B-share prices relative to A-share prices of these eight stocks. In our sample of sixty-eight firms issuing both A-share and B-share stocks, the average B-share discount on the SHSE is about 66.2 percent and that on the SZSE is about 52.4 percent from 1992 to 1997.Given substantial price differences between the two classes of shares, we address two issues. First, we try to identify factors that affect large discounts in B shares. Second, between the two classes of shares, we try to figure out which one mimics Chinas market fundamental values more closely. In other words, if the foreign ownership restriction is lifted, we wish to know which share prices will move closer to the new market prices.To address the first issue, we consider four potential explanations about the sources of the differential prices: the asymmetric information hypothesis, the differential demand hypothesis, the liquidity hypothesis, and the differential risk hypothesis. Although these hypotheses may explain the price differences between the two classes of shares, they are not necessarily complementary and they yield different empirical predictions. We characterize each hypothesis by its empirical implications and examine empirical evidence on each hypothesis using a panel data analysis. To address the second issue, we examine a model of dynamic relation between future cash flows and the two classes of share prices (returns) that tells us the relative weight of each class share price for given market fundamentals.Overall, we find that the substantial discounts in class B shares are primarily due to illiquid B-share markets. Relatively illiquid B shares have a higher expected return and are priced lower to compensate investors for increased trading costs. However, between the two classes of shares, we find that B-share prices tend to move more closely with market fundamentals. This suggests A-share premiums rather than B-share discounts.II.Introduction of Chinas Stock Exchanges and Sample Data The emergence of Chinas capital markets began with issuance of state treasury bonds in 1981 and state-enterprises corporate bonds to employees in 1984. Some state enterprises were also allowed to issue stocks to their employees. The capital markets were not well shaped until the formal establishment of the SHSE on December 19, 1990, and the SZSE on July 3, 1991. In 1992, China allowed some companies to issue a special type of stock, B shares, for trading by foreign investors. The two B-share markets-SHSE, where B shares are denominated in U.S. dollars, and SZSE, where B shares are denominated in HK dollars-were established to enourage foreign participatian in the mainlands double-digit economic growth. Although technically prohibited from trading B shares, domestic participants have been allowed to trade B shares under certain conditions.Chinas stock markets have expanded rapidly, as shown in Table 1. The number of A-share-listed firms has increased from 53 in 1992 to 720 in 1997, of which 372 traded on the SHSE and 348 traded on the SZSE. The number of B-share-listed firms has increased from 14 in 1992 to 101 in 1997, of which 50 traded on the SHSE and 51 traded on the SZSE. The total market capitalization has increased more than seventeen times since 1992. The average trading volume of A shares has increased by fifty times on the SHSE and by twenty-five times on the SZSE. However, the average trading volume of B shares has not increased significantly on the SHSE compared with the SZSE. Similarly, the average trading amount of A shares has increased by fifty-eight times on the SHSE and by forty times on the SZSE, and that of B shares has increased by fifteen times on the SHSE and by thirteen times on the SZSE.1 Overall, Table 1 shows that B-share markets have not expanded as rapidly as A-share markets. Also, B-share markets have been illiquid and less active than A-share markets, as shown by the average turnover rate in B-share markets hovering around one-tenth of that in A-share markets. Average daily returns of A-share markets have been higher than those of B-share markets in recent years.To study both the cross-sectional and time-series behavior of A- and B-share prices in the two stock exchanges, we select stocks with both A and B shares listed on the two stock exchanges before June 1, 1997. The sample period is from 1992 to 1997 and the return data are daily observations. Our final sample includes thirty-six stocks on the SHSE and thirty-two stocks on the SZSE. From the exchanges, we collect the daily closing prices of A shares and B shares from the date the information first became available. The B-share price on the SHSE is denominated in U.S. dollars, and the B-share price on the SZSE is denominated in Hong Kong dollars. We use U.S. and Hong Kong dollar exchange rates to convert the B-share prices to the RMB. To conduct a panel data analysis, we also collect the number of shares outstanding, trading volume, and market capitalization for both A-share and B-share stocks in our sample.III. Sources of Price Differences Between A Shares and B Shares Asymmetric Information Hypothesis Chakravarty, Sarkar, and Wu (1998) argue that the discounts in B-share prices exist because foreign investors find it more difficult, relative to domestic investors, to acquire and assess information about local Chinese firms. The difficulties are due to language barriers, different accounting standards, and lack of reliable information about the local economy and firms. They develop a theoretical model that incorporates both asymmetric information and market segmentation and show that B shares may trade at a discount relative to A shares.Chui and Kwok (1998) argue, however, that foreign investors receive news about China faster than domestic investors because of information barriers in China. As a result, returns on B shares should lead returns on A shares. They find empirical evidence consistent with this hypothesis using cross-autocorrelations between A-share returns and B-share returns in Chinas stock market.Given the opposing views, the issue should be settled by empirical analyses. To test the asymmetric information hypothesis, we provide (a) causality tests in returns and return volatilities, (b) time-series (over time) evidence, and (c) evidence on a cross-sectional firm size effect. If the asymmetric information hypothesis holds, either A-share returns help predict B-share returns or vice versa. Therefore, we should observe a causal relation between the two types of shares. According to Chakravarty, Sarkar, and Wu (1998), A-share returns should lead (or Granger-cause) B-share returns. However, according to Chui and Kwok (1998) causality in the opposite direction should be observed. A large literature relates stock price volatility to the flow of information in financial markets, which suggests the flow of information between the two classes of shares can be studied by examining their return volatility (e.g., Anderson (1996), Lee and Rui (2001). Therefore, we look at the direction of volatility transmission between the two classes of shares. If the discount in class B shares is due to asymmetric information, we should observe declining discounts over time as the information difference between domestic and foreign markets narrows. In addition, the discount should be negatively correlated with firm size, as foreign investors should have less informational disadvantage in large firms.Differential Demand Hypothesis The differential demand hypothesis is based on Stulz and Wasserfallens (1995) model and posits that the demand functions for domestic shares differ between foreign and domestic investors because of deadweight costs in holding stocks that vary across investors and countries. They show that domestic firms maximize firm value by discriminating between domestic and foreign investors. Domowitz, Glen, and Madhaven (1997) extend Stulz and Waserfallens model to accommodate Mexicos system. In particular, they take into account (a) ownership restrictions in Mexico that are binding and nonendogenous, allowing domestic investors to own shares open to foreign investors, and (b) the differences between investor groups because of their need for diversification, as opposed to differences in deadweight costs. As a result, their approach can explain the differences between the demand elasticities of foreign and domestic investors.According to the hypothesis, to maximize market values, firms can price discriminate between domestic and foreign shareholders because of differences in demand elasticity. The demand elasticities of domestic investors in China and foreign investors may be different. Foreign investors may have easier access to diversification and thus have a higher elasticity of demand for the stocks trading in Chinas stock markets. Hence, they require a higher risk premium to invest in China. As a result, the prices of B-share stocks have to be lower to induce foreign investors to hold them.For domestic investors in China, the demand for market instruments is great. With a national savings rate estimated to run as high as 45 percent of gross domestic product, citizens and enterprises with excess cash tend to rush into the securities market. However, investment opportunities for domestic investors in China are limited. Bank deposits do not offer attractive returns. From mid- 1993 to 1996, China indexed interest rates on long-term savings and bonds to inflation, thereby guaranteeing a real return of close to zero. Thus, domestic investors elasticity of demand for stocks is relatively low. As a result, domestic investors face higher A-share prices and are forced to accept a small risk premium to hold A-share stocks.In the differential demand hypothesis, the discount is lower as foreign demand increases. This suggests the discount across firms should be a negative function of the demands of foreign investors relative to the shares outstanding. As an empirical proxy for this relative demand measure across firms, we use the ratio of outstanding B shares to total outstanding shares as employed by Domowitz, Glen, and Madhavan (1997).In an equilibrium, the distinction between measures of supply and demand may not be clear. If outstanding shares are primarily determined by supply of shares by firms rather than demand by investors, we may observe the discount across firms is a positive function of the ratio of outstanding B shares to total outstanding shares.Liquidity Hypothesis According to the liquidity hypothesis, the observed price discounts for B shares are due to their lower liquidity and higher transaction (or trading) costs. Amihud and Mendelson (1986) suggest relatively illiquid stocks have a higher expected return and are priced lower to compensate investors for increased trading costs. As turnover rates and trading volume and amounts in Table 1 demonstrate, A-share markets are consistently and predominantly more liquid and active than B-share markets. Therefore, B-share investors, demanding a higher expected return, drive the price of B shares lower to compensate for the trading costs in illiquid and thinly traded B-share markets. Furthermore, because dealers inventory-carrying costs are higher for stocks in illiquid markets, trading costs in B shares will exceed those of A shares.2In the liquidity hypothesis, the discount across firms is an inverse function of the liquidity of B shares relative to that of A shares. As empirical proxies for the relative liquidity measures across firms, we employ two measures: relative trading volume (the ratio of trading volume in B shares to total trading volume (VA/VA+B) and relative turnover (the ratio of turnover in B shares to turnover in A shares). The turnover is defined as the ratio of the number of shares traded to the number of shares outstanding, and is sometimes known as relative volume. That is, relative turnover is computed by (VB/SOB)/(VA/SOA), where V denotes trading volume and SO denotes shares outstanding. Turnover is used as a measure of trading volume or liquidity in previous studies (e.g., Jain and Joh (1988), Mulherin and Geretz (1989).Differential Risk Hypothesis The differential risk hypothesis argues that Chinese investors and foreign investors have different risk aversion. By extending the international asset pricing model developed by Eun and Janakiramanan (1986), Ma (1996) finds that the price differences can be influenced by the investors attitude toward risk, the difference between domestic risk-free rate foreign risk-free rate, the liquidity of different shares, the correlation between B shares and foreign shares, and regulatory changes.In particular, Chinese markets are highly speculative, and investors might be highly risk tolerant and may want to make money in the short run. The highly speculative behavior of Chinese investors may push up A-share prices. That is, A-share investors may have a different degree of risk aversionfrom B-share investors. Therefore, the different risk level between A-share and B-share stocks provides another explanation for the B-share price discount. If this hypothesis holds, a positive relation should exist between the discount and risk level. We use variance of returns as a proxy for the risk level.外文题目：Foreign Ownership Restrictions And Market Segmentation In Chinas Stock Markets 出 处：Journal Of Financial Research 作 者：Chen.G. M,Lee.Bong-Soo,Rui.Oliver 译 文：中国股票市场中的国外所有权限制和市场分割摘 要本文主要研究在市场分割状况下中国股市的情况。企业和地方主要发行两类股票：只提供给中国公民的A股和只提供给外国公民的B股。B股具有重要的股票价格折扣记录。研究发现，价格差异的主要原因是B股市场的流动性不足。为弥补投资者增加的交易成本，流动性相对较差的B股股票具有较高的预期收益和较低的价格。不过，与A股价格相比B股价格往往与市场基本面联系更加紧密。因此，我们发现在中国市场上A股溢价比B股折扣更明显。一、引 言本文研究中国股票价格受国外所有权限制而产生的影响。目前，有金融文献研究说明，由于外国所有权的限制，一些对外国投资者开放的股票比那些对本国投资者开放的股票具有更高的价格(如，斯图尔兹和沃瑟夫伦(1995), 多摩威兹, 格楞和曼德汉福(1997)。而中国股市是个例外，直到最近才相对对其重视。黑特勒（1989）报告，1984年至1985年芬兰股市的外资股价格大幅溢价。依据均衡回报，国内投资者只允许持有国内股票（限制和无限制芬兰股），国外投资者允许持有所有股票（外资股和无限制芬兰股票）。他表明，受这一市场环境影响，国内投资者支付国内股票将低于国外投资者。贝利和杰格坦尼（1994）研究资本控制的作用，他们使用来自泰国地方和部门的那些买卖受外国所有权限制的证券数据。他们发现，泰国证券交易所董事会反映的19%的平均溢价率，即泰国本地和国外之间的价格横截面差异，受外国所有权的限制，并且与流动性和信息可用性严重相关。斯图尔兹和沃瑟夫伦（1995）