资本市场开放与跨境风险传染防控——基于沪港通的经验证据

Capital Market Opening and Cross-Border Risk Contagion Prevention and Control——Evidence from Shanghai-Hong Kong Stock Connect Program

在推进资本市场对外开放的同时,需建立完善的跨境风险防控体系。本文以沪港通为研究对象,运用事件分析法量化得出外资大幅流出A股时期的风险跨境传导路径。研究发现:第一,沪股通资金大幅流出事件发生会加剧港股的跨境风险传染作用,并使沪市行业风险上升。其中,沪股通配置型资金持股比例较低的行业对跨境风险溢出更加敏感;工业和材料等第二产业受跨境风险传染的影响程度强于信息、电信和金融等第三产业。第二,港股向沪市的对应行业扩散风险以后,风险会进一步在沪市行业间传导。由于沪市信息与电信行业之间存在较强的互补共振关系,沪市内部的风险放大作用使得信息与电信行业具有较高的脆弱性。因此,在资本市场逐步开放过程中,若发生外资大幅流出事件,为防控风险,应密切关注配置型资金持股比例较低行业的风险变动,同时还应考虑A股行业之间的互补共振关系。

This paper takes the Shanghai-Hong Kong Stock Connect as the research object and uses the event analysis method to quantify the cross-border risk transmission path of the stock market risk after the capital market is opened,providing a reference for making financial risk prevention and control policy.The main contributions of this paper include the following three points:firstly,compared with the existing research on the impact of capital market opening,this paper uses the event analysis method to quantitatively analyze the cross-border risk transmission path after the launch of the Shanghai-Hong Kong Stock Connect program,enriching research on the impact of capital market opening.Secondly,compared with the existing research on cross-border risk spillovers,this paper reveals the impact of the substantial outflow of capital from Shanghai-Hong Kong Stock Connect on industry risks in the Shanghai and Hong Kong stock markets.Thirdly,in order to achieve a benign interaction between A-shares and external capital markets,this paper quantifies the contagion path of Shanghai stock market risks to the Hong Kong stock industry during the substantial outflow of Shanghai Stock Connect funds,providing help to curb risk cross-contagion.Empirically,this paper finds the following characteristics of the relationship between capital market opening and crossborder risk contagion.Firstly,the occurrence of substantial outflow of funds from Shanghai Stock Connect will aggravate the cross-border risk contagion of Hong Kong stocks and worsen the risks of the Shanghai stock market.Among them,industries with a lower proportion of stocks allocated by Shanghai Stock Connect are more sensitive to cross-border risk spillovers,secondary industries such as industry and materials are more affected by cross-border risk contagion than tertiary industries such as information,telecommunications and finance.Secondly,after Hong Kong stocks spread the risks to the corresponding industries in the Shanghai stock market,the risks will be further transmitted among the industries in the Shanghai stock market.Due to the strong complementary resonance between the information and the telecommunications industry,the risk amplification effect within the Shanghai Stock Exchange makes the two industries highly vulnerable.Therefore,in the process of opening the capital market,if there is a substantial outflow of foreign funds,it is necessary to pay close attention to the risk changes of industries with a low proportion of allocated funds,and the complementary resonance relationship between and among A-share industries should also be considered.