Abstract
Abstract
In April 2018, in order to broaden the listing system of HKEx and attract more
high-quality enterprises to the HKEx, the HKEX relaxed the requirements for
secondary listings of companies listed on eligible overseas exchanges. At the same
time, in the face of the increasingly tense sino-US relations and the frequent
short-selling of Chinese concept stocks, red-chip companies listed in the US actively
seek to return to the local exchanges to ensure the stability of their market value and
reduce market impact. Therefore, many high-quality red-chip companies listed in the
United States choose the Hong Kong Stock Exchange as their second listing
choice. By the end of 2021 has been 15 companies listed in a secondary listing way
to return to Hong Kong, and return the company in the share price performance of two
markets is the important basis for testing the regression behavior results, so this article
choose to return to Hong Kong in 2020, a secondary listing of jingdong group as the
research object of case analysis, the two market share price linkages is studied.
Through the combination of theoretical and quantitative analysis, this paper
firstly briefly sorts out the motivation and process of the cross-listing of JD's
returning stocks in Hong Kong, and analyzes the impact of specific events in the
timeline before and after the return listing on the stock price performance of JD
in NASDAQ Market. Secondly, quantitative methods selection on June 18, 2020, the
two market share price, yield data were analyzed, and the study after listing in Hong
Kong, jingdong shares in U.S. stocks and Hong Kong, the performance of the two
markets its whether there is a cointegration relationship, and the granger causality test,
probe into its cross-listings behavior whether there is a market segmentation pricing
unreasonable phenomenon. On the basis of the previous research, the event study
method is used to study the impact effect of event shock on the stock prices of
jingdong and Jingdong after cross-listing.
The results of this paper show that: first, for different events, the two markets'
excess return rate and cumulative excess return rate are affected by different events.
Under the influence of hang Seng index slump, there is obvious market segmentation
in the performance of the two markets' return rate, and the SPILlover effect of US
stocks on the performance of Hong Kong stocks is small. Second, although the
long-term stock price performance of JINGdong in the two markets is co-integrated,
the two markets have different trading mechanisms, time difference in opening time
II

Abstract
and different composition of investors, which leads to price difference and market
segmentation of Jingdong in the short term. Third, jingdong share price performance
of the two markets in the long run there exist significant correlation, and jingdong
management in attention to the external environment increasingly against any shares
in the major premise, has listed in the us the ADR into stocks traded in great
quantities, it suggests that in as much as possible, avoid too much market share and
market risk. In the short term, there will inevitably be price difference between the
two markets of JINGdong. Therefore, investors and investment institutions should
strengthen cross-market communication and actively deal with the negative impact of
market segmentation.
Key words: secondary listing; Co-movement of share prices; Stock price
spread; Market segmentation; Rate of return fluctuation
III

目录
目录
摘要................................................................................................................................I
Abstract......................................................................................................................... II
目录............................................................................................................................. IV
第 1章绪论................................................................................................................. 1
1.1研究的背景..................................................................................................... 1
1.2研究的目的和意义......................................................................................... 1
1.2.1研究的目的........................................................................................... 1
1.2.2研究的意义........................................................................................... 2
1.3研究的内容、方法和技术路线..................................................................... 3
1.3.1研究的内容........................................................................................... 3
1.3.2研究的方法........................................................................................... 4
1.4技术路线......................................................................................................... 6
第 2章文献综述和相关理论..................................................................................... 7
2.1相关理论......................................................................................................... 7
2.1.1市场分割理论........................................................................................ 7
2.1.2 DCC-GARCH模型................................................................................8
2.2相关文献综述.................................................................................................. 9
2.2.1交叉上市股票价格联动性国内外研究............................................... 9
2.2.2交叉上市股票价差研究...................................................................... 10
2.2.3中概股回归国内外文献研究.............................................................. 12
2.2.4文献评述.............................................................................................. 13
第 3章京东回归港股二次上市问题描述与分析................................................... 14
3.1京东赴港二次上市案例介绍....................................................................... 14
3.1.1京东集团发展历程............................................................................. 14
3.1.2京东回归港股二次上市动因............................................................. 15
3.1.3京东回归港股过程梳理..................................................................... 20
3.2京东二次上市行为对美股影响分析........................................................... 21
3.2.1上市前信息冲击对美股股价冲击分析.............................................. 21
3.2.2二次上市前后美股股价变动分析..................................................... 22
第 4章京东异地上市股价市场联动性测度........................................................... 23
4.1研究设计与数据选取................................................................................... 23
4.2数据处理及模型拟合................................................................................... 24
IV
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