沪港通提高了沪市标的的“股价信息含量”了吗?  

Does SH-HK Stock Connection Improve the Information Content of Underlying A-Share Stocks?”

作　　者：吕大永[1] 万孝园 

机构地区：[1]上海交通大学安泰经济与管理学院

出　　处：《投资研究》2017年第10期91-105,共15页Review of Investment Studies

摘　　要：作为双边互联制度,沪港通对市场效率的影响不同于传统金融市场开放的影响。本文运用倍差法和面板回归探讨沪港通推出对沪股通标的股价"信息含量"的影响。我们发现,沪港通推出降低了沪股通标的"信息含量",并且双边资金流动带来的影响并不一致:沪股通交易降低了沪股通标的"信息含量",而港股通交易活动则提高了"信息含量"。因此,在证券市场开放过程中应区别双边资金流动对股价信息含量的不同影响进行适当微调。Comparing with the opening of financial market, SH-HK Stock Connect, as a kind of bilateral connection policy, has different influence on the efficiency of the market. This paper conducts DID as well as panel regression analysis based on the bilateral transaction data of SH- HK Stock Connect in order to discuss the influence of opening SH- HK Stock Connect on stock price information content of the underlying A-share. We find that the launching of SH-HK Stock Connect decreases stock price information content. What＇ s more, trading of the underlying stocks in Shanghai decreases stock price information content of the underlying A-share, while trading of the underlying stocks in Hong Kong helps improve the price information content of the underlying A-share.

关 键 词：沪港通 信息含量 定价效率 价格发现 

分 类 号：F832.51[经济管理—金融学]