沪深港通对AH股市场收敛的影响:扭曲作用还是矫正作用?——基于交叉上市公司股票的实证分析

The Impact of Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connect on AH Stock Market Convergence: Distortion or Correction?

基于沪深港通成交活跃股中,交叉上市公司AH股收益率差异的日度数据,运用事件研究法及单样本t检验方法分析了沪深港通开通对于AH股市场收敛的影响,并运用面板格兰杰因果检验和Hasbrouck方差分解分别研究了沪深港通开通后A股市场和香港市场之间的相互影响关系及影响程度。研究结果表明:第一,沪深港通开通促进了AH股市场收敛。第二,沪深港通开通以来,A股市场与港股市场间互相产生影响,且A股市场对于港股的市场影响较大,这表明AH股市场收敛可能更多的是扭曲作用的结果。基于前述的分析结论,本文还提出了相应的政策建议。

In this paper,based on the daily data of cross-listed companies AH stock returns and these stocks exchange active in the Shanghai-Hong Kong and Shenzhen-Hong Kong stock connect,the effect of Shanghai-Hong Kong and Shenzhen-Hong Kong stock connect on the convergence of the A-H shares market was analyzed using the event study method and the single-sample t-test method,and using panel Granger causality test and Hasbrouck variance decomposition to study the mutual influence and degree of influence between the A-share market and the Hong Kong market after the opening of Shanghai-Hong Kong and Shenzhen-Hong Kong stock connect. The results of the study show that: First,the opening of Shanghai-Hong Kong and Shenzhen-Hong Kong stock connect promoted the convergence of the AH stock market. Secondly,since the opening of the ShanghaiHong Kong and Shenzhen-Hong Kong stock connect,the A-share market and the Hong Kong stock market have had an impact on each other,and the A-share market has a greater impact on the market of Hong Kong stocks,indicating that the convergence of the A-H shares market is more a result of distortions. Based on the foregoing analysis conclusions,this paper also proposes corresponding policy recommendations.