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中文摘要：
以2001年2月19日B股市场扩大投资者范围这一事件为研究背景，运用协整理论以及长期-短时（permanent-transitory，PT）模型分2个时间段研究了上海股票交易所A，B股价格发现功能的演化过程．第1时间段，由于市场的分割使得A、B股市场之间的价格发现机制没能有效地发挥作用；第2时间段，A股市场在价格发现中占据主导地位．运用定性和定量分析的方法，对影响股票市场价格发现功能的7个理论假设进行验证，研究结果对其中5个理论假设提供了支持．
英文摘要：
In this paper, matched synchronous daily trading data, the cointegration theory and the permanent-transitory （PT） model are employed to analyze the price discovery evolvement of the A and the B shares in the Shanghai Stock Exchange. According to the background of enlarging the scope of investor for the B shares on February 19, 2001, the whole sample period is divided into two parts. In the first part, the price discovery mechanism between the A and the B shares plays a weak role because of market segmentation. In the second part, the stock market of A-share is a dominate one. Seven hypotheses were checked with qualitative analysis and quantitative analysis. Evidence supporting five of the seven hypotheses is found.
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