沪港通、深港通政策对标的股票定价效率影响及其对比研究——基于双重差分模型

The Impact of Shanghai-Hong Kong, Shenzhen-Hong Kong Stock Connect Program on the Stock Price Efficiency——A Test Based on the Difference-in-Difference Model

沪港通和深港通的开启建立了内地与香港地区两市资本的联通机制,是我国证券市场对外开放进程中的一项探索性举措。本文基于有效市场理论分析表明,与香港股票市场的互联互通机制将提升我国证券市场的定价效率,随后分别选取了政策实施前后上证、深证股市陆股通和非陆股通股票日交易数据,构造了反映股价信息反应程度的指标、反映股价信息反应速度的指标来衡量沪港通标的股票的定价效率,运用双重差分(DID)模型进行实证检验,结果表明:沪港通的推出在一定程度上提高了股票定价效率,市场信息反应程度有所提升,但信息反应速度并无明显改善,总体而言作用仍然有限,而深港通的开通效果更为显著,在信息反应程度和速度上均有较为明显的改善。

The Opening of Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect have established the interconnection mechanism between the Mainland and Hong Kong capital market,which is an exploratory move in the opening process of China's security market.Based on the analysis of effective market theory,this paper shows that the interconnection mechanism with the Hong Kong stock market will improve the pricing efficiency of China's securities market,then we use the daily trading data before and after the implementation of the policy of land shares and non-land shares,and construct two index to measure the pricing efficiency of stocks:one reflects the degree of reaction of stock price information,the other reflects the reaction rate of stock price information,using the DID model for empirical test.The results show that:the introduction of Shanghai-Hong Kong Stock Connect Program has improved the efficiency of stock pricing in a certain extent,the degree of information response has improved a lot,but there has been no significant improvement on the speed of information response.However,as a whole,the role of Shenzhen-Hong Kong Stock Connect is still limited.The effect on Shenzhen-Hong Kong Stock Connect is more obvious both in the extent and speed of information response.