沪港通如何影响AH股价差?——基于双重差分的视角

How Shanghai and Hong Kong Stock Market Connect Influences AH price spread?——Based on DID perspective

沪港通、深港通等金融自由化的重大事件,对香港与中国内地资本市场互联互通影响深远。本文运用DID双重差分方法探究沪港通如何影响AH股价差。结果表明,沪港通实施初期,AH股价差扩大,香港与内地股市的短期一体化并无明显增强。这与当时处于牛市巨幅波动的市场环境有关,跨境资金流向沪市。沪港通的长期效果仍需观察。本文建议强化沪港通作为内地与香港股票市场互联互通的升级机制,深化中国资本市场对外开放。

Shanghai and Hong Kong Stock Market Connect and Shenzhen and Hong Kong Stock Market Connect are major events in China’s capital market opening and financial liberalization. The increase of the stock market co-movement between Hong Kong and China's Mainland is the process of China’s capital market opening. This paper explores the impact of Shanghai and Hong Kong Stock Market Connect and Shenzhen and Hong Kong Stock Market Connect on the co-movement between Hong Kong and China's Mainland. According to the empirical results of DID, short term linkage between Shanghai and Hong Kong did not be enhanced after Shanghai and Hong Kong Stock Market Connect has implemented, but Shenzhen and Hong Kong Stock Market Connect did. And long term linkage between Shenzhen and Hong Kong remains to be seen. Along with the financial liberalization strengthened, the capital market gradually liberalized, foreign capital flow control will be weakened,which will undoubtedly lead to growth of overseas investment, enhance co-movement of stock market with other countries. In this paper, we suggest upgrade mechanism of Shanghai and Hong Kong Stock Market Connect and Shenzhen and Hong Kong Stock Market Connect interconnectivity, deepen the Chinese opening of the capital market.