中國雙重上市公司的股價差異一直是各界討論的焦點之一。同樣標的的金融資產在風險調整後的定價應該一致，但相同公司在上海以及深圳兩交易所上市的A股與在香港交易所上市的H股間存在明顯的價格差異，本文主要研究可能導致價格差異的原因。本研究發現除了過往學者所提出在流動性、風險要求溢酬、需求上的差異以及資訊不對稱的因素之外，人為操弄的可能、投資人偏好的差異以及交易所在市場的走勢也都顯著影響價格差異的變化。其中本文也驗證了大陸投資人較香港投資人更具有投機傾向。除此之外本文也從個股評價資訊的角度分析了價差比率的變化，認為觀察雙邊股價的差異可以了解個股的高低估情況，進而做出相應的交易以獲取報酬。
最後本文延伸討論了近期相當受到關注的台灣存託憑證之發行，研究指出大部分顯著影響A股、H股價差情況的因素對於台灣存託憑證和原股間的價差也同樣具有解釋能力，同時觀察台灣存託憑證的溢價情況也能做為判斷兩邊股價高低估的指標。

The price difference of the Chinese dual-listed companies is a interesting issue. The price of the same asset should be consistent after risk-adjusted, but there is an obvious difference between A-share and H-share which the same company’s shares listed in the Shanghai or Shenzhen Stock Exchange and Hong Kong Stock Exchange. This study found that not only liquidity, demand, required risk premium, and information asymmetry can lead to the price difference, but also manipulation, investor’s preference, and the market emotion. This also verified the investors are more speculative in China than the investors in Hong Kong. Besides, this research analysis the price difference ratio form the viewpoint of valuation, the difference ratio provides a way to understand whether the stock is undervaluation or overvaluation.
Finally, this study discussed the Taiwan Depository Receipts. The result indicated that most of the factors which influence the price difference between A-share and H-share also affected the price difference between TDR and the original share. The difference ratio between TDR and original share can also provide some information about the stocks are undervaluation or overvaluation.

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 6
第三節 研究架構 7
第四節 研究貢獻 7
第二章 文獻討論 9
第一節 市場分割概述 9
第二節 市場分割相關文獻回顧 10
第三節 A股、H股價格差異成因 13
第三章 研究方法 21
第一節 A股、H股價差影響因素探討 21
第二節 特別處理警示對A、H價格差異影響 27
第四章 實證結果 30
第一節 樣本與模型檢定 30
第二節 結果分析 32
第五章 價差比率與相對評價之討論 38
第六章 雙重上市延伸討論─台灣存託憑證 44
第一節 TDR溢價影響因素 47
第二節 TDR價差比率與相對評價之討論 49
第七章 結論與建議 52
參考文獻 55

中文部分
王維安、白娜，「A股與H股價格差異的實證研究」，華南金融研究，卷4，31-39頁，2004年。
巴曙松，「股權分置改革後A+H股價差的實證研究」，當代財經，卷5，51-56頁，2008年。
邵勤華，「H股相對於A股折價的實證研究」，浙江大學碩士學位論文，2005年
胡章宏、王曉坤，「中國上市公司A股和H股價差的實證研究」，經濟研究，卷4，119-160頁，2008年。

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