外国投资者降低了新兴市场股价崩盘风险吗——来自“沪港通”的经验证据

Do Foreign Investors Decrease the Stock Price Crash Risk in Emerging Markets? Evidences from Shanghai-Hong Kong Stock Connect

基于发达市场的外国投资者改善新兴市场公司信息环境,降低市场投机的视角,利用"沪港通"的政策冲击,考察了外国投资者对股价崩盘风险的影响。研究发现,"沪港通"确实有效降低了标的股票的股价崩盘风险,对"沪港通"前没有外国投资者交易或者"沪港通"后外国投资者交易活跃的股票,"沪港通"改善公司信息环境、降低股价崩盘风险的作用更加显著;在公司盈余管理水平较高的情况下,外国投资者更能发挥其改善公司信息环境的作用,股价崩盘风险有更显著的下降;外国投资者主要是通过信息交易机制,而不是通过监督机制来降低股价崩盘风险的。因此,推进资本市场的进一步开放对于提高市场透明度和资本配置效率,增强资本市场服务实体经济的能力具有重要意义。

From the perspective of foreign investors in the advanced markets expecting improvements of the corporate information environment in the emerging markets and reducing market speculation, this paper takes the advantage of the policy shock of Shanghai-Hong Kong Stock Connect to investigate the influence of foreign investors on the stock price crash risks. The results show that Shanghai-Hong Kong Stock Connect has indeed reduced the stock price crash risks of the underlying stocks; as for the stocks that are not traded by foreign investors before Shanghai-Hong Kong Stock Connect or that are traded actively by foreign investors after Shanghai-Hong Kong Stock Connect, the effect of Shanghai-Hong Kong Stock Connect is all the more significant. If the company has a higher level of earnings management, foreign investors can play a more active role in improving the compa- ny＇ s information environment, and the stock price crash risks can be more significantly reduced. It is mainly through the information trading system, not the supervising system, that the foreign investors can reduce the stock price crash risks. Therefore, it is of great significance to promote the further opening-up of the capital markets, so as to improve the market transparency and capital allocative efficiency, and enhance the capability of the capital market to serve the real economy.