资本市场开放可以提高上市公司治理质量吗——基于沪港通的渐进双重差分模型检验

Can Capital Market Liberalization Improve the Governance Quality of Listed Companies:The Time-varying DID Test Based on Shanghai-Hong Kong Stock Connect

运用主成分分析法(PCA)构造公司治理质量指数,利用沪港通交易制度实施这一外生事件,基于其分批试点名单制特点构建渐进双重差分模型,考察资本市场开放对上市公司治理质量的影响。结果显示:沪港通制度的实施通过改善上市公司信息披露质量(包括改善内部会计信息质量和强化外部监督)来提高上市公司治理质量,并以此提升公司价值,这种提升效应具有滞后性且在非国有控股和交易活跃的标的公司表现得更加显著。进一步研究资本市场开放制度的连续性,发现在没有QFII持股的标的公司中,其治理质量的优化作用更加显著。因此,资本市场开放的信息效应可以提高上市公司治理质量,进而提升企业价值,渐进连续的资本市场开放制度能使更多上市公司受益,并可促进上市公司质量进一步提升。

In the context of the exogenous event that the Shanghai-Hong Kong Stock Connect trading system is introduced and its characteristics of announcing the pilot lists of companies in batches, this paper constructs a corporate governance quality index using principal component analysis(PCA) and builds the Time-varying Difference in Differences model to examine the impact of capital market liberalization on the governance quality of listed companies. It is found that the implementation of the Shanghai-Hong Kong Stock Connect system improved the quality of listed company governance by improving the quality of information disclosure, including the quality of internal accounting information and external supervision, and thereby increased the corporate value;this kind of uplifting effect is lagging and more pronounced in non-state-controlled and actively traded target companies. Furthermore, through the study on the continuity of the capital market liberalization system, it is also found that the optimization effect on corporate governance quality is more significant in companies without QFII holdings. In brief, the information effect of capital market liberalization can improve the governance quality of listed companies, thereby enhancing corporate value;the gradual and continuous capital market liberalization system can benefit more listed companies and promote their quality.