资本市场开放、股价信息含量与企业全要素生产率——基于“沪深港通”的准自然实验  

The Opening of Capital Market,Stock Price Informativeness and Enterprises’Total Factor Productivity——Based on the Quasi-natural Experiment of“Shanghai/Shenzhen-Hong Kong Connects”

作　　者：任灿灿[1] 郭泽光[1] 田智文 REN Cancan;GUO Zeguang;TIAN Zhiwen(School of Accounting,Shanxi University of Finance and Eeonomics,Taiyuan Shanxi 030006;Taiyuan Branch Company,Shanghai Red Star Macalline Real Estate Co.Ltd.,Taiyuan Shanxi 030006)

机构地区：[1]山西财经大学会计学院,山西太原030006 [2]红星地产太原分公司,山西太原030006

出　　处：《国际商务（对外经济贸易大学学报）》2021年第2期141-156,共16页INTERNATIONAL BUSINESS

基　　金：教育部人文社会科学研究一般项目“实体企业金融资产配置、财务公司资金管控与全要素生产率提升研究”(19YJC630058);教育部哲学社会科学系列发展报告项目“山西资源型经济转型综合配套改革试验区发展报告”(11JBGP014)。

摘　　要：利用沪深港通交易机制这一外生冲击,检验资本市场开放对企业全要素生产率的影响。研究发现:资本市场开放能显著提升企业全要素生产率,其中,股价信息含量的提高发挥了中介效应。沪深港通交易机制实施后,香港地区成熟投资者的引进优化了境内投资者结构,有利于发掘企业异质性信息,降低股价同步性。股价信息含量的提高形成了有效的股价反馈机制,不仅能降低企业的资源获取成本,而且能形成有效的外部监督,改善企业资源使用效率,提升全要素生产率。进一步研究发现,资本市场开放的政策效应主要体现在规模较大的企业、市场化程度较低的地区和审计质量较低的企业中,说明沪深港通交易机制存在一定的规模门槛效应,且能改善因低市场化水平和低审计质量导致的资源扭曲状况。This paper tests the effect of the opening of capital market on enterprises’total factor productivity(TFP)base on the Shanghai/Shenzhen-Hong Kong Stock Connects as exogenous impact.The research finds the opening of capital market can significantly improve enterprises’TFP and in which stock price informativeness plays an intermediary role.The introduction of sophisticated investors from Hong Kong optimizes the structure of investors in China's Mainland after the implementation of Shanghai/Shenzhen-Hong Kong Stock Connects,which is beneficial to explore heterogeneity of enterprise information and reduce stock price synchronicity.The improvement of stock price informativeness brings about an effective feedback mechanism of stock price,which can not only reduce the cost of resource acquisition but also form an effective external supervision to improve efficiency of enterprise resource and TFP.It further finds that the policy effect of the opening of capital market is mainly on sizable enterprises,lower-audit-quality enterprises,and in areas with lower degree of marketization,which indicates that Shanghai/ShenzhenHong Kong Connect mechanism has certain scale threshold effect,and is able to improve the resource distort caused by lower marketization and lower audit quality.

关 键 词：资本市场开放 股价信息含量 股价同步性 企业全要素生产率 

分 类 号：F272[经济管理—企业管理] F275[经济管理—国民经济]