沪港通扩容对我国A股市场短期定价效率的影响研究

The Short-term Impact of the Expansion of the Shanghai Hong Kong Stock Connect Pricing on Efficiency of China’s A-share Market

2023年3月13日我国对沪港通进行自开通以来最大规模的一次双向扩容,本文分析了此次扩容对A股市场股票定价效率的短期影响。采用沪港通扩容作为准自然实验,以2023年3月13日扩容前后两个月A股沪港通标的上市企业数据为研究样本,运用双重差分法系统性论证了沪港通扩容对我国沪市A股定价效率的短期影响,发现沪港通扩容对提升A股市场的定价效率具有显著正面作用,短期内提高了我国沪市A股对信息的反应速度。研究还发现,对于高换手率的股票而言,沪港通政策的推行使得其定价效率的提升更为显著;对于流通市值较小、交易活跃度较高的股票,沪港通扩容对其定价效率的提升尤为明显。本研究为沪港通扩容与市场效率提升之间的关系提供了新的视角,对未来优化沪港通等互联互通机制提供了政策建议。

China conducted the largest two-way expansion of the Shanghai Hong Kong Stock Connect since its opening on March 13,2023.This article analyzes the short-term impact of this expansion on the stock pricing efficiency of the A-share market.The paper treats the expansion of the Shanghai Hong Kong Stock Connect as a quasi-natural experiment,uses the data of A-share Shanghai Hong Kong Stock Connect target listed companies in the two months before and after the expansion on March 13,2023,as the research sample,and uses the double difference method to analyze the short-term impact of the expansion on the pricing efficiency of China's Shanghai A-share market.It was found that the expansion of the Shanghai Hong Kong Stock Connect has a significant positive effect on improving the pricing efficiency of the A-share market.It improves the response speed of China's Shanghai A-share market to information.The study also finds that the pricing improvement is more significant for stocks with high turnover rates and stocks with smaller market capitalization and higher trading turnover.This study provides a new perspective on the relationship between the expansion of the Shanghai Hong Kong Stock Connect and the improvement of market efficiency and provides policy insights to optimize the interconnection mechanisms.