沪港通降低了股价崩盘风险吗——基于双重差分模型的实证研究

Has the Shanghai-Hong Kong Stock Connect Reduced the Risk of Stock Price Crash——An Empirical Study Based on the DID model

基于现代资本市场理论，运用双重差分模型，检验了沪港通对标的证券股价崩盘风险的影响。研究发现，相比于控制组公司，沪港通开通以后，处理组公司的股价崩盘风险显著降低。进一步的分析表明，沪港通机制主要是通过改善上市公司信息环境、提高股票流动性水平等路径降低股价崩盘风险。该研究结论不仅丰富了股价崩盘风险形成机理的分析范式，而且为股票市场开放对我国资本配置效率影响的研究提供了微观证据。

Based on the modern capital market theory, the DID model is used to test the impact of the Shanghai-Hong Kong Connect mechanism on the risk of inland stock price crash. The study finds that, compared to control group, the stock price collapse risk has decreased significantly in treatment group after the launch of the Shanghai-Hong Kong Stock Connect. Further analysis shows that the Shanghai and Hong Kong Stock Connect mechanism reduces the risk of stock price collapse mainly by improving the external information environment of listed companies and the level of stock liquidity. The conclusions of this paper not only enriches the analy- sis paradigm of the formation mechanism of stock price collapse risk, but also provides the microscopic evidence for exploring the im- pact of stock market opening on the efficiency of capital allocation in China.