This study shows that investor sentiment plays an important role in affecting the pricing dynamics between the spot and futures markets. The empirical evidence suggests that investor sentiment has a positive impact on price volatility and the bid–ask spread on both the spot and futures markets, which induces higher arbitrage risk and trading costs during high sentiment periods. As a consequence, during high sentiment periods, informed traders become less willing to leverage their information advantages on the futures market, which diminishes the futures markets’ leading informational role and contributions to price discovery. My findings provide support for the theory of limits to arbitrage.

資訊不對稱的問題在股市中一直是受關注的議題，一個完善的市場，理應不應當存在資訊不對稱的現象。中國大陸股市在政府宣布開放B股前，上海交易所與深圳交易所中的A股與B股市場屬於完全區隔的現象，國內投資人（多為散戶）只能在A股市場投資，國外投資人（多為金融機構）只能在B股市場投資，在此種制度底下，價格發現機能易受扭曲，資訊不對稱的問題是容易產生的。然而大陸宣布B股開放後，國內投資人可到B股市場投資，資訊不對稱的程度應逐漸變小，改善同家公司在A股與B股市場上市的股票同權不同值的現象。 本文研究目的即在於探討A股市場與B股市場之間是否存在資訊不對稱問題。利用Hasbrouck（1995）提出的價格發現模型-資訊持有比例法（Information share method），計算何者在價格發現過程中佔有較多的資訊比例。研究對象為上海交易所及深圳交易所內同時有在A股市場與B股市場上市的公司每日股價收盤價。以B股宣告開放日2001年2月19日為中心，將樣本分為開放前與開放後兩階段。進一步在實證中應用Pascual, Pascual-Fuster, and Climent（2006）的研究發現。 本研究實證結果：第一，B股開放前，不論加入成交量與否，B股市場皆為價格發現支配者。說明A股市場與B股市場間的確存在資訊不對稱現象。第二，B股開放後，A股市場為價格發現支配者，B股與H股市場為衛星市場。推論原因乃來自於2002年後B股市場幾乎停止新股掛牌；B股開放後B股流動性改善，外資以往賺取的溢價減少；人民幣升值議題，加入WTO全面開放資本市場的承諾等。 / Information asymmetry is an important issue in the financial market. A perfect market should not exist this phenomenon. Before 2001, domestic investors could only buy A shares while foreign investors could only hold B shares. Under this regulation, the function of price discovery is easily distorted, and information asymmetry occurs easily. Shares with identical rights offered by one company would have different values while they are located in class A and class B. This problem, however, should be improved after the deregulation that domestic investors could buy B shares. The main purpose of this paper is to investigate whether information asymmetry exists between A-share and B-share markets. We use information shares approach (Hasbrouck, 1995) to calculate and compare which market has more information share in the price discovery process. The samples include all firms having stocks trading in A-shares and B-shares market on Shanghai Securities Exchange (SHSE) and the Shenzhen Stock Exchange (SZSE). The sample period, October 6, 1997 to October 31, 2005, is divided into two sub-sample periods. Moreover, the model provided by Pascual, Pascual-Fuster, and Climent (2006) is also implied into this paper. This paper concludes that (1) Before deregulating to allow domestic investors to hold B shares, B-share markets is a dominator in the price discovery process no matter considering trading volume or not. It means that A-share and B-share markets indeed exist information asymmetry. (2) After February 19, 2001, A-share markets become a dominator in the price discovery process while B-share and H- share markets become satellite markets. The possible explanations are that there are seldom companies listing in the B shares markets after 2002; the foreign investor gain less premium than before because of enhancing B-share’s liquidity; Renminbi appreciate and capital markets open completely in the end of 2006.