资本市场开放提高企业投资效率了吗?——基于“沪港通”政策的异质性影响分析

Does Capital Market Liberalization Improve Firms’Investment Efficiency?Heterogeneity Analysis Based on Shanghai-Hongkong Stock Connect Policy

本文以沪港通政策实施为背景,借助PSM、DID和处理效应等因果推断方法检验了资本市场互联互通政策对微观企业融资约束及投资效率的影响。实证发现:沪港通开通可缓解成分股企业的融资约束,但融资约束的缓解对企业投资效率具有"双刃剑"作用——既弱化了企业投资不足,也激励了过度投资。尽管融资约束的缓解对过度投资呈现出一定的直接激励效应,但同时也对企业研发投资产生了明显的激励作用,并最终通过提升产品创新能力间接缓解了过度投资。

The construction of the two-way opening of China’s capital market has become a prominent issue for the Chinese government since the 18^(th) National Congress of the Communist Party of China.Previous studies have analyzed the effect of the capital market liberalization on the macro-economy growth and volatility,market volatility and risk,market linkage and efficiency,business performance and investment,etc.By using data from the annual reports of listed companies in Shanghai stock exchange from 2012 to 2017 and constructing the policy transmission mechanisms for financing constraints,this paper makes a comprehensive analysis on the effects that Shanghai-Hongkong Stock Connect Policy has on firms’investment efficiency and explores the underlying micro-economic connotation from the perspective of the innovation-driven investment.Specifically,we first adopt the PSM/DID/Treatment Effect and other causal inference methods to test the effect of Shanghai-Hongkong Stock Connect Policy on the financing constraints and the investment efficiency of the constituent stocks.Result shows that the financing constraints of the underlying stocks have declined significantly since the implementation of Shanghai-Hongkong Stock Connect Policy.After classifying the“underlying stocks”into the“insufficient investment group”and the“excessive investment group”,the study finds that the Shanghai-Hongkong Stock Connect Policy elevates the investment efficiency of the“insufficient investment group”by softening the financing constraints but promotes the inefficiency of the“excessive investment group”due to the loosened constraints.This provides empirical evidence for the heterogeneous effect of the capital market liberalization on the investment efficiency of entity enterprises.Finally,we use the Treatment Effect Method to test whether the alleviated“R&D financing constraints”improve the investment efficiency of the companies with excessive investment.Result shows that though the Shanghai-Hongkong Stock Connect Policy offers“direct”impetus for excessive investment,it“indirectly”lifts firms’ability to upgrade the production capacity and thus frustrates the excessive investment by improving the R&D investment.This also provides rational and empirical reference for understanding how the capital market liberalization synergizes the innovation-driven investment and further optimizes the growth quality of the real economy.Potential contributions of this article are as follows:(1)Through the construction of the policy transmission mechanisms for financing constraints,this paper illustrates and empirically tests the“heterogeneous effect”of the Shanghai-Hongkong Stock Connect Policy on the investment efficiency,thereby further“dialectically”reflecting on the actual effect of the policy and expanding the research perspective of the interactive relationship between the Shanghai-Hongkong Stock Connect Policy and the investment efficiency;(2)By proving that the Shanghai-Hongkong Stock Connect Policy can relieve the R&D financing constraints,motivate innovation and“indirectly”perfect the investment efficiency,we reexamine the positive effects of the capital market liberalization on the innovation synergy and improvement of the growth quality of the real economy,and incorporate opening-up,innovation and growth to a cohesive analytical framework.