资本市场开放、尾部系统风险与市场稳定——来自沪港通交易制度的经验证据

Capital Market Openness,Tail Systematic Risk and Market Stability:——Evidence from Shanghai-Hong Kong Stock Connect

近年来,我国资本市场对外开放进入加速阶段,对外开放对资本市场稳定的影响引发了投资者及监管部门的关注。本文从尾部系统风险的角度出发,利用双重差分方法考察沪港通交易制度对于市场稳定性的影响程度及作用机制。研究结果表明:(1)从整体上看,沪港通交易制度的实施在短期内并未发挥降低尾部系统风险的积极作用,反倒加剧了左尾系统风险;(2)沪港通交易制度对左尾系统风险的不利影响主要集中在信息效率低、公司治理机制较差、流动性较低的公司;(3)沪港通制度实施后,标的股票对外开放程度(交易规模)的提高会降低左尾系统风险。本文研究丰富了尾部系统风险、资本市场开放的相关文献,为投资者风险识别、监管部门维护市场稳定提供了经验证据。

This paper enriches the relevant literature on the systematic risk of individual stock tail and the opening of capital market,and provides empirical evidence for investors’ risk identification and regulators’ maintenance of market stability.The results show that:First,in the short term,the implementation of the Shanghai-Hong Kong stock connect does not play a positive role in reducing the tail systematic risk,but aggravates the left tail systematic risk.Second,the adverse effects of the trading system of Shanghai Hong Kong stock connect on the left tail systematic risk of individual stocks are mainly concentrated in companies with low information efficiency,poor corporate governance mechanism and low liquidity.Third,after the implementation of the Shanghai-Hong Kong stock connect system,the improvement of the opening degree(trading scale) of the underlying stock will reduce the left tail systematic risk.This study enriches the relevant literature on the tail systematic risk of individual stock and capital market openness,and provides empirical evidence for investors’ risk identification and regulators’ maintenance of market stability.