资本市场开放促进了资本市场公平吗?:基于“沪港通”开放事件的准自然实验研究

Does Capital Market Liberalization Improve Market Fairness?: Evidence from Shanghai-Hong Kong Stock Connect Program

基于资本市场公平视角,以沪港通开通为准自然实验,文章以双重差分法研究了资本市场开放对内幕交易水平的影响,以检验资本市场开放是否有利于促进资本市场公平。研究结果表明:(1)资本市场开放对内幕交易具有治理作用,有效降低了内幕交易水平,促进资本市场公平,这意味着资本市场开放能同时兼顾效率和公平;(2)上述治理作用在信息披露改进动机较强、量化信息披露较少、信息披露质量较差和信息透明度较低的公司以及融资需求较高的公司中更显著,说明资本市场开放对内幕交易的治理主要通过减少信息不对称和融资需求机制发挥作用;(3)地区金融竞争与资本市场开放的治理作用有一定互补效应。文章结论为中国进一步扩大资本市场开放举措提供了新的经验证据支持,也说明了其作用发挥的主要约束条件。

Based on fair market perspective,we examine the impact of stock market liberalization on the level of insider trading,using the data of Shanghai-Hong Kong Stock Connect Program( SHKSCP hereinafter). Our empirical evidence suggests that SHKSCP has governance effect on insider trading by effectively reducing the level of insider trading. That means capital market liberalization can improve market fairness. Further study shows that the impact of capital market liberalization on the level of insider trading is mainly through reducing information asymmetry and financing channel,and the impact is more significant in companies with stronger motivation to improve information disclosure,less quantitative information disclosure,poor information disclosure quality and lower information transparency,as well as companies with higher financing needs. We also find that the regional financial competition has a certain complementary effect to the governance effect of stock market liberalization. Our research provides new supporting evidence for further capital market liberalization policy.