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H股回归一直被认为是有利于发展中国A股市场的。本文从收益率的角度出发,通过选取2008年以前实现H股回归的47只股票的日收益率数据和对应日期内的上证指数的日收益率数据作为样本,分别通过非参数检验、事件研究和回归分析方法进行分析,结果发现H股回归对上证指数收益率有负的影响。我们认为,该发现具有重要的现实意义,有关当局应当重视,在实施H股回归政策时要有计划、分步骤,避免对投资者信心造成短期不利的过度冲击。
H-share return has been considered to be conducive to the development of China’s A-share market. In this paper, from the point of view of yield, by selecting the daily return data of 47 stocks before HH return and the daily return rate of Shanghai index in the corresponding date as samples, this paper uses nonparametric test, event research and Regression analysis method analysis, the results found that H shares return on the Shanghai Composite Index negative impact on yield. In our opinion, this finding is of great practical significance. The authorities concerned should pay attention to the need to plan and step up the implementation of the H share return policy so as to avoid short-term unfavorable over-shock to investors’ confidence.