This thesis gives a brief account on the segmented Chinese stock markets. The indexes of A shares, i.e. shares on the domestic market sold only to domestic investors and the H share index, i.e. foreign shares sold on a foreign stock market, Hong Kong, and sold only to foreigners are compared. With time, the Chinese government is opening up its stock market more and more and allowing more interaction between local and domestic stock markets, but one step at a time. Three major attempts to open up the markets are described and investigated on their effect on the integration of the H share market and the A share market. We checked for the introduction of CEPA, QDII and “through train”. The tests applied were ADF test, Engle-Granger cointegration test and Granger causality test. We found no cointegration for the entire sample and in none of the subsamples we used. The findings on the causality relations among the different stock markets don’t confirm any of the four causality relations defined before. We don’t see any unidirectional causality and it changes over time. We cannot confirm the global center hypothesis or the home bias hypothesis, but we can also not claim that the markets are completely segmented and show no correlation among prices. There is a correlation and there are causality links but they change every time the government changes its regulations. However, it is not clear what kind of regulations will make the causality change in which direction.

論文摘要 為探討中國證券市場A股、H股雙重上市的情況、中國內資股對外資股價格相對較高的現象及中國政府陸續開放市場的措施，本文首先使用Engle- Granger共整合模型探討中國QFII、QDII及港股直通車等政策，對A股與H股市場的影響。研究樣本為中國A股與香港H股雙重上市的十六檔股票，研究期間自2002年起至2008年年底，採用日資料進行實證分析。研究結果發現自QDII實施後，A股與H股市場呈現顯著共整合現象，且一直延續到2008年年底；接著本文亦針對相對流動性、相對股票供給量、資訊不對稱程度與匯率變動等四項因素，探討其對個別公司A股、H股的價差影響程度，實證顯示這些因素皆對A股、H股價差有顯著的影響。H股的流動性、公司規模和港幣兌換人民幣的匯率都會對A股、H股的價差產生反向的影響，H股的供給量則會對A股、H股的價差產生正向的影響。另外，藉由2002年至2008年研究期間股價的觀察，發現在中國政策開放下，A股與H股股價亦有逐漸靠攏的趨勢，價差逐漸縮小，顯示中國的市場開放政策的確改善了原本市場區隔的現象，促進境內與境外的資金流動與市場效率，未來兩市場股價的整合應可預期。