资本市场开放能够提高股票价格稳定性吗?:基于沪港通的经验证据

Can the Opening of Capital Markets Improve the Stability of Stock Prices?: Empirical Evidence from SH-HK Stock Connect

基于2012年11月至2016年11月上海证券市场的月度面板数据,文章通过双重差分固定效应模型,分别从不同期间、不同市场开放程度入手,研究沪港通对股票价格稳定性的影响。研究发现,沪港通的实施有效降低了标的股票的整体波动性,波动性在短期的增加只是一种暂时性的现象,沪港通的实施通过扩大股票投资者基础、优化市场投资者结构从而对股价稳定性带来积极影响。随着市场开放程度的增加,沪港通也会对股票的极端波动产生影响,降低公司股价跳升风险,有利于缓解A股市场的投机氛围,但同时也增加了公司股价崩盘风险,带来市场不稳定因素。沪港通实施后公司股票的崩盘风险与中国证券市场薄弱的信息披露环境有关,那些信息披露环境差的公司股票的崩盘风险显著增加。

Based on the monthly panel data of Shanghai stock market from November 2012 to November 2016,this paper studies the impact of SH-HK Stock Connect on the stability of stock prices in different periods and different degrees of market opening by using the DID fixed effect model. The study finds that the implementation of SH-HK Stock Connect effectively reduces the general volatility of underlying stocks,and the short-term increase of volatility is only a temporary phenomenon. The implementation of SH-HK Stock Connect has a positive impact on stock price stability by expanding the stock investor base and optimizing the market investor structure. With the increase of market openness,SH-HK Stock Connect will also have an impact on the extreme volatility of stocks,reducing the risk of stock prices plunge,which is conducive to alleviating the A-share market investment. However,it also increases the risk of stock price crash and brings about market instability. The risk of stock price crash after the implementation of SH-HK Stock Connect is related to the weak information disclosure institation in China’s securities market,and the risk of stock price crash of those companies with poor information disclosure institation has increased significantly.