沪港通制度改善了我国股票市场定价效率吗?

Does Shanghai-Hong Kong Stock Connect Improve Price Efficiency in the Chinese Stock Market

提高金融市场的资源配置效率既是证券市场发展的核心议题,也是政府监管部门各项改革政策的初衷。鉴于资源配置效率是由定价效率来实现的,因此通过检验证券市场定价效率可以对政策效果进行评价。针对我国证券监管部门推出的沪港通实施效果,我们利用双重差分模型,采用股票价格对公司未来盈余的反应能力对其进行了实证检验,研究发现,相较沪港通实施之前,沪股通标的股票价格对未来盈余信息的反应系数并没有得到有效提升,反而有所下降。而进一步利用股价对未来现金流反应能力的检验结果也得到了相同的结论。这表明沪港通的实施至少到目前为止远未达到提升内地股市定价效率的应有效果。不过,沪港通的开通对香港市场的定价效率提升、市场活跃度、股指上行却有着显著作用,但对沪港两地市场总体而言,还远没有达到帕累托改进的目的。

The Shanghai-Hong Kong Stock Connect program is an abbreviation approved by the China Securities Regulatory Institution in November 2014 for the establishment of the technology link between Shanghai Stock Exchange and Hong Kong Stock Exchange to realize the interconnection and interoperability mechanism between the two stock markets. It is not only a major institutional innovation in China＇s securities market,but also an important part of openness degree in China＇s securities market. Through the implementation of the ShanghaiHong Kong Stock Connect program,the promotion of the pricing efficiency of the domestic stock market is the fundamental reason for its launch. For the purpose of testing the effectiveness of the Shanghai-Hong Kong Stock Connect,we use the difference-in-differences model to empirically examine the impact of the Shanghai-Hong Kong Stock Connect program on the pricing efficiency of China＇s stock market. First,the empirical test of the response ability of the stock price to the future earnings,that is,the sensitivity of ＂returns-future accounting earnings＂,has found that before the implementation of the Shanghai-Hong Kong Stock Connect,the reaction coefficient of the underlying stock corresponding to the A-share market in future earnings information has not been effectively improved,but has declined. Second,it has further examined the sensitivity of ＂returns-future earnings changes＂ and ＂returns-future cash flows＂. The test results also obtain the same conclusion as the former. After the implementation of the Shanghai-Hong Kong Stock Connect program,the sensitivity of the reaction coefficient of the underlying stock corresponding to the A-share market Exchange to the change in the future earnings changes and the sensitivity of the stock price to the reaction to future cash flows have all decreased. This indicates that the implementation of the Shanghai-Hong Kong Stock Connect program is far from achieving the desired effect of raising the pricing efficiency of the domestic stock market at least in the sample period. In this regard,we believe that the direct cause is the continuous outflow of funds from the domestic stock market,and the deeper reason is the difference between the market institutional environment and the level of investor protection. In addition,our study also finds that the Shanghai-Hong Kong Stock Connect program has injected＂fresh blood＂ into the Hong Kong stock market,boosted the continuous uplink of the Hong Kong stock index,increased the vitality of the Hong Kong stock market,and promoted the pricing efficiency of the Hong Kong stock market. However,for this institution,it is difficult for the Pareto optimality state to be successfully realized if the implementation of the system benefits one side while damages the other,or cannot benefit both. Therefore,this article believes that strengthening the construction of the domestic stock market system,improving the governance of listed companies,and improving the investment environment of the domestic stock market are the fundamental aspects of promoting the pricing efficiency in the stock market and solving the problems in the development of the stock market.