A股B股的区别论文英文翻译
以下,就是有道富投资为大家翻译的A股B股的区别论文
A.数据和初步统计
A股和B股在上海证券交易所和深圳证券交易所的交易程序都是类似的。二者的交易都
是以买卖盘带动,且都使用电脑进行自动化交易。二者都没有指定的做市商。而且,交易者
只能通过一个开放的电子综合限价书(COLOB)来提交限价购买委托书。按照时间和价格优先
的原则,买入委托单会自动和COLOB中最佳的限价单进行匹配。如果不能匹配,则会将买入
委托单加入到COLOB中。
并不存在大宗交易系统允许流动交易者在上层市场进行大宗交易。场外交易和知情交易
都是被禁止的,但检测系统并不十分严格。上交所和深交所的最低A股交易额均为100股,
但上交所最低B股交易额为1000股,深交所为100股。我们的数据包含了从2000年1月份到
2001年11月份之间深交所和上交所包含具体时间的交易和报价。我们对数据进行了过滤。首
先,我们将样本数据限制为在此时间内在A股和B股市场都有交易发生的公司,这样一来将
公司数目由1000缩减为84。其次,我们排除了8家公司,因为他们在B股市场的只进行了短
短数天的交易。再次,对于剩余的76家公司,我们将它们因为外部原因,在A股或者B股市
场交易量都非常小的日期排除在外。第四,我们将陈旧报价排除在外,它们很容易识别,因
为深度为0。第五,样本中还排除了每个交易时段最初的15分钟和最后15分钟的交易数据。
A. Data and Preliminary Statistics
The trading processes for A- (local) and B- (foreign) shares on the Shanghai
Stock Exchange (SHSE) and the Shenzhen Stock Exchange (SZSE) are similar.
Both exchanges run order-driven, automated markets. Neither exchange has
designated market makers. Traders can only submit limit orders, which arrive
at an electronic consolidated open limit order book (COLOB). An incoming order
is automatically matched against the best standing limit order in the COLOB,
according to the price-time priority principle. If it cannot be matched, then it
is added to the COLOB. There is no block trading system that allows liquidity
traders to trade large volumes in an upstairs market. Off-exchange trading
and insider trading are both forbidden, but this is not tightly monitored. The
minimum trade size is 100 shares for local shares in both markets, but 1,000
shares for Shanghai foreign shares and 100 shares for Shenzhen foreign shares.
Our data consist of all time-stamped trades and quotes from January 2000
to November 2001 for all stocks traded on the SHSE and the SZSE.7 We apply
a number of filters to our data. First, we limit the sample to firms that traded
A- and B-shares throughout the sample period, thereby reducing the number
of firms from over 1,000 to 84. Second, we exclude eight firms, because only
for a few days we find nonzero volume in the B-share market. Third, for the
remaining 76 firms, we remove days for which, for exogenous reasons, there
was no or very limited trading in either the A- or the B-share market.8 Fourth,
we remove stale quotes, which are easily recognized through zero depth. Fifth,
the first and last 15 minutes of each trading session are removed from the
sample.
I 提供了A股和B股在2000年1月至12月这一区间内的交易数据。在此期间内,两
股市场是完全分隔开的。表中列出了76支股票的交叉截面平均值,
差和最大和最小交易
量。为了便于比较,B股的报价和交易数据(深交所以港币计算,上交所以美元计算)被转换
成了人民币计算,汇率所采用的是样本时间内的(固定)官方汇率。样本时间内A股的平均交
易价格为14.29元(1.73美元),B股的平均交易价格为3.10元(0.37美元)。这相当于B股的
平均折价率为72%,与前面的证据一致(详见Bailey 等人,(1999))。
Table I provides trading statistics for the A- and B-shares from January to
December 2000, a period during which both markets were fully segmented.
The table presents the cross-sectional mean, standard deviation, minimum,
and maximum based on the 76 sample stocks. For comparison, the trade and
quote data for the B-shares (in Hong Kong dollars for SZSE and in U.S. dollars
for the SHSE) are converted to yuan using the (fixed) official exchange rate
for the sample period. The average trade price in this period is 14.29 yuan
($1.73) for A-shares and 3.10 yuan ($0.37) for B-shares. This corresponds to an
average B-share discount of 72%, which is in line with previous evidence (see,
e.g., Bailey et al. (1999)).
关于交易量,B股平均每天的交易量为A股市场的一半左右,B股平均每天的交易量为
854,000,而A股为1,684,000。正如人们预料的那样,A股市场的交易更加频繁。但是,我
们发现,尽管A股市场的交易较为频繁,它的交易规模反而比B股市场要小。这突出体现了
我们在价差分解分析中控制交易规模的重要性。尽管A股和B股的平均报价差距分别为0.027
元和0.035元,但这个差距在传统的置信水平上并不明显。两个市场的有效价差都等于0.035
元。
In terms of volume, the B-share market is about half the size of the A-share
market—an average of 854,000 versus 1,684,000 shares per day. The A-share
market is more actively traded, as expected. Furthermore, we find that while
the trading frequency is higher in the A-share market, the transaction size
is lower. This highlights the importance of controlling for trade size in our
spread decomposition analysis. Although the average quoted spread is 0.027
yuan for A-shares and 0.035 yuan for B-shares, this difference is not significant
at conventional confidence levels. The effective spreads in the two markets are
both equal to 0.035 yuan.
B.初步分析对信息不对称的测量结果
在本小节中,我们估算了价格冲击系数(PI),逆向选择成分(AS)以及知情交易
(PIN)
的可能性,我们同时研究了是否这些信息不对称的测量结果在交叉截面上是否同展示出最强
信息不对称现象的股票相符合。然后,我们将这些措施同外资股的折价进行了关联。
在准备用于估算价格冲击系数和逆向选择成分的数据时,我们效仿了Glosten和
Harris(1988),将交易规模限制在10万股,以避免大宗交易所占比重过多。A股市场和B股
市场的中位数阶段频率分别为0.28%和1.55%。这很可能是由于B股市场有组织的集体投资者
进行较大规模交易造成的结果。我们也试着将交易规模分别限制为20万股和40万股,所得到
的结果总体上相似。
B. Preliminary Analysis of Information Asymmetry Measures
In this subsection, we estimate the price impact coefficients (PI), adverse
selection components (AS), and the probability of informed trading (PIN)
measures, and we study whether these information asymmetry measures agree,
cross-sectionally, as to which securities exhibit the highest information asymmetry.
We then relate these measures to the foreign share discount.
In preparing the data for the estimation of PI and AS, we follow Glosten and
Harris (1988) and truncate the trade size to 100,000 shares to avoid giving too
much weight to large trades. The median truncation frequency is 0.28% and
1.55% for the A- and B-share market, respectively. This is most likely the result
of more institutional investors who trade in larger sizes, in the B-share market.
We also truncate the trade size to 200,000 and 400,000 shares and find that
the results are generally similar.
表II中的A部分包含了我们对于76支A,B股价格冲击系数的估算。γ 和 φ的凭估计
值为9.66 × 10?7元每股,A股市场为8.58 × 10?3元,B股市场为2.61× 10?7 and 6.35
× 10?3元。因此,尽管A股的交易量大于B股(见表I),A股的深度其实比B股要低。这
个结果很有趣,因为它表明不可将流动性与交易规模等同起来。因此,像我们在第二部分提
出的模型一样,即使不考虑交易规模,A股市场和B股市场信息不对称程度的差异也会导致
其市场深度的不同。这是为什么在控制交易活动之后,我们对信息不对称的测量结果解释B
股折价率的程度进行了回归分析测试。
Panel A of Table II contains estimates of the price impact coefficients for the
76 A- and B-shares. The mean estimates of γ and φ are 9.66 × 10?7 yuan
per
share and 8.58 × 10?3 yuan for the A-share market, and 2.61 × 10?7 and 6.35
× 10?3 for the B-share market. Therefore, although A-share volume is higher
than B-share volume (see Table I), A-share depth is actually lower than B-share
depth. This result is interesting as it shows that one should not equate liquidity
with trading volume. Thus, consistent with our model in Section II, even without
trading volume consideration, the information asymmetry between A- and
B-share markets could cause their market depths to be different. This motivates
why in subsequent regression analyses we test the extent to which our information
asymmetry measures explain the B-share discount after controlling for
trading activity.
表II中的B部分包含了76支股票在价差的逆向选择成分固定及可变的情况下交叉截面数
据,同时也包含了76支股票的毛利润的交叉截面数据。逆向选择成分系数,z0 和z1非常重
要,它们包含了人们对于A股市场76支股票的预期和B股市场大部分股票(分别为66和61)
的预期。先前文献中指出逆向选择的花费是同交易规模一起增长的价差的重要组成部分,此
处的数据与此论断一致。固定毛利系数,c0也很重要,它反映了人们对于A股所有股票的预
期和对于B股市场中67支股票的预期。
Panel B of Table II contains cross-sectional statistics on the fixed and variable
adverse selection component (AS) of the spread and on gross profit for the 76
A- and B-shares. The AS component coefficients, z0 and z1, are significant, and
carry the expected sign for all of the 76 securities in the A-share market and
for almost all (66 and 61, respectively) of the securities in the B-share market.
This evidence is consistent with previous literature in that the cost of adverse
selection is a significant component of the spread that increases with the size
of the transaction. The fixed gross profit coefficients, c0, are significant, and
carry the expected sign for all of the securities in the A-share market and for 67
of the securities in the B-share market.
可变毛利系数,c1,能够反映A股中的55支股票,但仅对B股市场中的4支股票具有意义。
B部分中的最后一栏反映了中等规模交易中的逆向选择成分。与我们对于PI的估算相一致,
我们发现A股市场的平均逆向选择成分比B股市场要大,分别为56.4 × 10?4 元和 46.8
在估算A股市场和B股市场价格冲击系数和逆向选择成分时,我们遇到的一个× 10?4元。
问
是B股市场的交易频率要低于A股市场。除了在在逐笔交易数据的基础上估算逆向选择
成分之外,我们也在固定时间段的基础上对其进行了估算。例如,以15分钟为一个时间段,
t1到t指的是价格在这15分钟内发生的变化,V(t)为15分钟内订单净流量的绝对值,Q(t)
根据净流量值的正负分别定义为1或-1。总体来说,我们发现在后续的回归分析中将这些数
值代入公式,最终得到的结果在本质上是相似的。
The variable gross profit coefficients, c1, are significant for 55 of the securities in the A-share market and for only 4of the securities in the B-share market. The last column in Panel B reports the
AS component for a median-sized trade. Consistent with the PI estimate, we
find that the average AS component is larger in the A-share market than in the
B-share market, with values of 56.4 × 10?4 and 46.8 × 10?4 yuan,
respectively.
A problem in estimating PI and the AS component for the two markets is
that there is a lower trade frequency for B-shares as compared to A-shares. In
addition to estimating the AS component based on trade-by-trade data, we also
estimate based on fixed-length intervals. For instance, in the case of 15 minutes,
price change from t – 1 to t is measured as the price change over the 15-minute
interval, V(t) is defined as the absolute value of net order flow in the 15-minute
interval t, and Q(t) is defined as 1 or –1 depending on whether the net order
flow is positive or negative in the 15-minute interval t. In general, we find
that using alternative estimates of PI and the AS component in our subsequent
regression analyses produces qualitatively similar results.
表II中的C部分提供了PIN模型参数估计的交叉截面统计数据。我们再一次发现A
股中存在知情交易商的证据,此类交易商的平均达到率, μ,为0.38这与非知情交易商(0.44)
和卖方(0,51)的到达率在数值上较为接近。而在B股市场,知情交易商的平均到达率较低,
为0.11,这同B股市场非知情交易商(0.06)和卖方(0.07)的数值也是比较接近的。A股市场
中某天的知情交易发生率,α,0.36也要高于B股市场的0.31。这同A股市场存在较多内幕
操作是相符合的。然而,B股市场的PIN测量结果的平均水平要高于A股市场,因为B股市
场中非知情交易的数目相对较少。所有参数中,除了代表了坏消息出现频率的δ之外,其他
参数同大多数股票的表现都相吻合。
Panel C of Table II presents cross-sectional statistics on the parameter estimates of the PIN model. Again, we find considerable evidence for privately
informed traders in the A-share market, as the average arrival rate of these
types of traders, μ, is 0.38, which is of the same level of magnitude as the arrival
rates of uninformed buyers (0.44) and sellers (0.51). The arrival rate of
informed traders in the B-share market is lower at 0.11, and again is of the
same level of magnitude as the arrival rates of uninformed buyers (0.06) and
sellers (0.07) in this market. The probability of an information event on a specific
share market than in the B-share market, with day, α, is higher in the A-
rates of 0.36 versus 0.31, respectively. This is consistent with the existence of
more information in the A-share market. However, the average level of the PIN
measure is higher in the B-share market, as this market exhibits a relatively
low number of uninformed trades. All parameters are significant for the majority
of the securities except for the parameter δ, which is the probability of
the
news being bad news.
我们通过验证信息不对称性的不同方面的测量结果是否能够在交叉横截面上同信息不
对称性最强的股票相吻合来对不同的测量方面进行比较。图4采用散布式绘图法描绘了A股
和B股市场上差价的逆向选择成分相对于价格冲击和PIN的关系。这些图形表明,A股市场
中测量结果之间的关系较B股市场更强,A,B股市场中的相关性分别为89%和59%,B股市场
中的相关性明显弱很多。
We compare our measures of information asymmetry by verifying whether
they agree cross-sectionally as to which securities exhibit the most information
asymmetry. Figure 4 presents scatterplots of the AS component of the spread
(for a median-sized trade) against PI and the PIN for both the A- and B-share
markets. These plots suggest a stronger relationship between the measures
in the A-share market, with correlations of 89% and 59%, respectively. The
relationship in the B-share market is much weaker.
最终,散布式分析表明B股市场折价率的变化可以用信息不对称的测量进行解释。图
5反映了A股市场和B股市场相比较的情况下,外股折价率同信息不对称测量结果差别(PI,
逆向选择成分,和PIN)之间的关系。对于所有的测量方面而言,我们发现信息不对称程度
较高的股票其B股的折价越高。三种信息不对称的测量方面和折价率的相关性分别为PI,
66%,AS 67%, PIN 28%, 此结果在1%和5%的层面的数据都具有意义。
Finally, scatterplot analysis reveals that the B-share discount appears to be
explained by the proposed information asymmetry measures. Figure 5 plots
foreign share discounts against the differentials of the information asymmetry
measures in the A-share market relative to the B-share market, as measured
by PI, the AS component, or the PIN. For all measures, we find that stocks
with relatively higher information asymmetry appear to command higher Bshare
discounts. The correlations between the three information asymmetry
measures and the discounts are 66% for PI, 67% for AS, and 28% for PIN, and
are statistically significant at either the 1% or 5% level.
D.B股市场向国内投资者开放之后的变化
2001年3月,管理者向国内投资者开放了B股市场。我们利用这个管理上的变化进一步
在两方面测试了我们关于信息不对称的假设。首先,我们预期到B股折价率将降低,或者消
失,更重要的是,我们预期此次时间后,我们对于B股市场信息不对称的测量结果将上涨,
即B股市场的信息不对称现象将增多,因为有较好信息来源的国内投资者开始涌入了B股市
场。第二,我们对一个新的样本时段再次进行了截面回归分析,并以此作为稳健性的测试。
我们分析了从2001年4月至11月这一时间段内相同的76支股票。
D. Changes After the B-Share Market Was Opened Up to Local Investors
In March 2001, regulators opened the B-share market to domestic investors.
We use this regulatory change event to further test our information asymmetry
hypothesis in two ways. First, we expect B-share discounts to shrink or vanish
and, more important, our information asymmetry measures to increase for the
B-share market after this event, because better-informed domestic investors are
now allowed to participate in this market. Second, we repeat our cross-sectional
regressions for the new sample period as a robustness test.We analyze the same
76 stocks for the sample period of April to November 2001.
我们发现,同我们的假设相一致,B股市场同未开放之前相比较,折价水平由原来的
72%降至43%,知情交易的数目有所上涨。折价水平缓慢而非突然降低的主要原因在于国内投
资者手中外币的缺乏。表格V中的A部分展示了B股开放前和开放后PI的估计值,可以发
现,PI值几乎翻倍(增长了81%),由开放前的2.6增长到了4.6。 与之相比,A股市场的增长
值则要小的多,仅为21%。这个结果同B股市场有大量知情交易者涌入是相吻合的。B部分
是基于逆向选择成分的价差,它也正是了这些结果。国内投资者允许进入B古市场之后,对
于B股市场而言,固定逆向选择成分(z0)和可变逆向选择成分(z1)都有较大的增长,涨幅分
别为52%和102%。
We find that, consistent with our hypothesis, the discount levels decrease
from an average of 72% to 43%, and the level of informed trading in the Bshare
market increases compared with the model estimates for the preevent
period. The main reason for this gradual, rather than sudden, decline in
discounts
is the lack of foreign currency among domestic investors. Panel A in
Table V presents pre- and postentry estimates of PI, and shows that PI almost
doubles (+81%) for the B-share market from 2.6 preentry to 4.7 postentry. This
increase is larger than the 21% increase in the A-share market and is therefore
consistent with the arrival of better-informed domestic investors in the
B-share market. Panel B confirms these results based on the AS component of
the spread. For both the fixed (z0) and the variable (z1) AS component, we find
considerable increases in the B-share market of 52% and 101%, respectively,
after domestic investors were allowed to enter into this market.
我们发现,中等规模交易的逆向选择成分由原来的46.8分增长到了67.4分,涨幅为44%。
这个涨幅也大于A股市场相应的涨幅,因此同PI变化相一致。表格V中的C部分反映了B
股市场中,知情投资者的到达率增长了164%,而在A股市场,该数值减少了29%。更进一步
的证据是,B股市场知情交易的可能性由0.31增长到0.42,而A股市场仅仅有0.36增长到了
9.38。尽管如此,PIN的测量值在两个市场都没有发生很大的变化,因为知情交易者的到达
率同非知情交易者的到达率在变化上基本保持了一致。
在B股市场开放之前,用测量信息不对称的方式对外股折价进行回归分析所得到的结果
同先前的发现一致。表6展示了PI,AS和PIN的测量结果,并排除了管制因素。在所有的分
析中,信息不对称测量值的相关性都为正,PI和逆向选择成分测量值分别能够解释61%和71%
的B股市场折价的变化。
We find that
the AS component for median-sized trades increases by 44% from 46.8 cents to
67.4 cents. This increase is again larger than the increase in the A-share market
and thus consistent with the PI findings. Panel C of Table V reveals that
the arrival rate of informed investors in the B-share market increases by 164%.
This rate actually decreases by 29% in the A-share market. Further evidence
of increased information in the B-share market is that the probability of an
information event increases from 0.31 to 0.42, whereas in the A-share market,
the probability increases only from 0.36 to 0.38. Nevertheless, the level of the
PIN measure does not change much in either market, because the changes in the arrival rate of uninformed traders roughly match those of informed
traders.
The regressions of the foreign share discount on the information asymmetry
measures and controls in the postevent period are consistent with earlier findings.
Table VI presents the results for PI, AS, and PIN including and excluding
the control variables. In all of the regressions, the information asymmetry measures
are significantly positive, with the PI and AS component measures explaining
61% and 71% of the variation in foreign share discounts, respectively.
E.对结果的讨论和解读
总体而言,我们的结果有力的证明了对于信息不对称性的测量,尤其是对于逆向选择成
分和买卖差价的测量,在解释B股折价的交叉截面变化时,比任何控制变量都更重要。我们
的解释是,信息不对称的测量,反映了国内投资者能够得到内部消息的程度。当信息不对称
程度越高时,(通常的表现形式为A股市场的价格冲击系数和逆向选择成分比B股市场要高),
国内投资者越愿意付出比国外投资者更高的价格,由此导致B股折价的产生。然而,尚有一
些问题值得讨论。
E. Discussion and Interpretation of the Results
Overall, our results provide strong evidence that the information asymmetry
measures, especially the adverse selection component of the bid-ask spread, are
far more important than any of the control variables in explaining the crosssectional
variation in B-share discounts. Our interpretation is that the information
asymmetry measures reflect the extent of private information available
to domestic investors. When there is a higher degree of information asymmetry,
as measured by a higher price impact coefficient or adverse selection component
in the A-share market than in the B-share market, domestic investors are
more willing to pay a higher price than foreign investors, resulting in B-share
discounts. However, several issues are worthy of discussion.
第一个问题是关于我们所指的内部消息的类型。人们广泛相信,中国投资者在进行投资
时更多的相信流言,而非投资的一些基本原则。而且,股票市场的操纵广泛存在,在相当长
的一段时间内使股票的价格背离了其本身的价值。Mei等人(2003)称A股的价格是投机泡沫
的反映。因此,我们并不清楚是否我们对于信息不对称现象的测量反映了最为基础的消息,
而不是那些经过层层操纵之后的。尽管我们也承认投机者的存在,但并不认为投机者的存在
会导致我们的价格冲击系数和逆向选择成分在测量信息不对称性时失去其原有的效果。
The first issue concerns the type of private information to which we refer. It
is widely believed that Chinese investors trade on rumors rather than fundamentals.
Furthermore, share manipulation is widespread, pushing prices away
from the intrinsic value for a relatively long time period. Mei et al. (2003) argue
that A-share prices are a reflection of speculative bubbles. Thus, it is not clear
whether our information asymmetry measures reflect fundamental news. Although
we agree with this view of the speculative behavior of investors, we do
not think that it should disqualify our price impact coefficient or adverse selection
component from being effective measures of information asymmetry.
逆向选择成分和买卖价差之中的毛利成分之间的差别在于,逆向选择成分反映了长久的
价格变化,而非短暂的就爱个变化。因此,即使是对于长期投资者而言,逆向选择成分也是
非常重要的,不论它反映的究竟是真实的消息,抑或是谣言。而且,Chan,Menkveld 和
Yang(2007)指出,A股报价的修正幅度能够预测B股的报价修正幅度,但反之则不成立。因
此,尽管A股价格可能并不能反映真实的消息,外国投资者同样会依据A股的价格变动采取
相应的行动。
The
difference between the adverse selection component and the gross profit component
of the bid-ask spread is that the adverse selection component reflects
a permanent price change, rather a temporary price change. Therefore, even
for long-term investors, the adverse selection component is always important,
regardless of whether it reflects fundamental news or rumors. Furthermore,
Chan, Menkveld, and Yang (2007) show that A-share quote revision has predictive
ability for B-share quote revision, but not vice versa. Therefore, even
though A-share prices may not necessarily reflect fundamentals, it appears
that foreign investors also react to the A-share price movement.
第二,如果A股市场被投机交易所充斥,股票价格并不能反映其本来的价值。那么我们
必须思考问什么A股和B股的就爱个可以由一些基本的变量来解释,比如说我们对信息不对
称的测量。很明显,因为投机的存在,A股的价格的变化可能会更随机一点,在反映其本来
价值上并非那么有效。然而,如果B股的价格是理性的国外投资者完全按照其原本价值制定
的话,那么其折价程度仍然应该和我们对信息不对称的测量相关联。我们的证据表明,外股
的折价程度是可以由基本的组成部分进行解释的,尽管它也会受到A股价格随机变动的影
响。
Second, if the A-share market is dominated by speculation, in which case
stock prices do not reflect fundamentals, then we must ask why the differentials
between A- and B-share prices are explained by some fundamental variables,
such as our information asymmetry measures. Obviously, due to speculation,
A-share prices might be more random, and hence less reflective of fundamentals.
However, if B-shares are priced according to fundamentals by rational
foreign investors, then the discounts should still correlate with information
asymmetry measures. Our evidence demonstrates that foreign share discounts can be explained by fundamental components even if they become noisy due to
randomness in A-share prices.
第三,A股市场中价格冲击和逆向选择成分比B股市场中更大的一个主要原因是A股中的
交易更加频繁,这就使得知情交易者更容易在A股市场中隐藏起来。换句话说,A股市场中,
逆向选择成分更大的原因并不一定在于A股的投资者比B股的投资者拥有更多的信息,而是
由于A股市场的知情投资者能够更容易利用他们所拥有的信息。我们并不排除这种可能性的
存在,因为我们找不到解释A股市场比B股市场存在更多知情交易的原因,也就是说我们不
能断定是因为国内投资者获得内部消息的能力较强还是他们隐藏自己交易的能力更强。尽管
如此,因为实验数据表明信息不对称的测量相对于交易数目在解释B股折价时更加的重要,
我们认为上述的那种解释尽管貌似有理,实际上却是不可能的。
Third, a major reason for the PI or the AS component to be larger in the
A-share market than in the B-share market might be that trades are more
frequent in the former, making it easier for informed investors to camouflage
themselves in the A-share market. In other words, the larger AS component
for the A-share market may not necessarily be due to the A-share investors
possessing “more information” than the B-share investors, but to being easier
for the A-share informed investors to take advantage of their information. We
do not rule out this possibility because we cannot trace the reason for observing
a greater degree of informed trading in the A-share market than in the B-share
market, that is, we cannot determine whether it is due to the ability of domestic
investors to acquire private information or to their ability to hide their trades.
Nevertheless, since the empirical evidence shows that information asymmetry
measures are much more important than the number of trades in explaining the
B-share discount, we think that this explanation, while plausible, is unlikely.