沪港通是个股“强心剂”吗

Does Shanghai-Hong Kong Stock Connect Stimulate Stocks?

本文采用上海市场个股2011年1月-2016年3月的月度面板数据，利用沪港通政策对我国上海股票市场个股实施差异的“准自然实验”，使用倍差法（DID）评估沪港通政策的实施效果及不同节点的作用大小，并进一步探讨了沪港通政策的异质性、作用机制及潜在风险。研究发现：沪港通政策显著促进了个股超额收益差异化，考虑政策宣布、股灾、熔断机制等不同时间节点事件，标的证券超额收益率相较于其他个股提升0．8％－1．8％，利用反事实等多种检验证明该政策影响是稳健的；该政策对交通运输仓储业个股、地方国有企业个股有显著正向影响，个股市值规模、成交额以及宏观经济稳定性是沪港通政策施加影响的重要途径；经济下滑与股票市场异常时沪港通有可能造成一系列潜在风险。

Using the monthly balanced panel data of stocks from Shanghai Exchange within the period from January 2011 to March 2016 and the differences embraced in stocks with implementation of the ＂quasi natural experiments＂, and employing the difference - in-difference strategy, this paper evaluates the policy effects of the Shanghai-Hung Kong Stock Connect, explores the size of the effect under consideration of several events, and further discusses about the heterogeneity, operating mechanisms, and potential risk of this policy. Empirical results show that, the Shanghai- Hong Kong Stock Connect does significantly promote the performance of the target stocks viewing from the excess re- turn, by increasing excess return rate by 0.8%-1.8% compared to non-target stocks even under the considerations of policy announcement, stock markets crash, and fuse mechanism. Further tests, such as counter-factual check, show that the excess return effect of this policy is robust. This policy also imposes positive influence to the target stocks be- longed to communication, transportation, and storage industry or owned by local government, through certain routes, such as the stock scale, trading volume and macro-financial stability. Our paper also sheds light on the potential risks, to some extent.