沪港通究竟带来了什么?——对双重上市公司股票价格差异的研究

What Shanghai-Hong Kong Stock Connect Really Brought?——Research on Price Disparity of Cross-listed Companies in China

沪港通的开通,推动了我国资本市场的开放,将大陆、香港两地证券市场紧密地联系在一起。本文在此背景下,对沪港通开通前后一年的两地证券市场进行研究。结果表明,首先,沪港通的正式批复对A股和H股股票市场都产生了显著影响;其次,沪港通开通当日,A股股票市场的反应相对平稳,但H股股票市场出现了较大波动;最后,尽管沪港通的开通加强了两地股票市场的互联互通,但双重上市公司的股票价格差异并没有缩小,反而扩大了。

The launch of Shanghai-Hong Kong Stock Connect strength the opening of capital market, tighten the eonnections between Shanghai and Hong Kong stock markets. In this new era context, this paper investigates the cross-listed companies in China one year before and after the launch of Shanghai-Hong Kong Stock Connect. The results are as follows, firstly, the approval of Shanghai-Hong Kong Stock Connect had a great impact on both Shanghai and Hong Kong stock markets. Secondly, the launch of Shanghai-Hong Kong Stock Connect exerted a great influence on Hong Kong stock market. However, it had little impact on Shanghai stock market. Last but not the least, although Shanghai-Hong Kong Stock Connect closely linked Shanghai and Hong Kong stock markets, the price disparity of cross-listed companies has widened.