资本市场开放与企业全要素生产率  

Capital Market Opening up and Corporate Total Factor Productivity

作　　者：戴鹏毅 杨胜刚[1] 袁礼 Dai Pengyi;Yang Shenggang;Yuan Li

机构地区：[1]湖南大学金融与统计学院 [2]湖南师范大学商学院

出　　处：《世界经济》2021年第8期154-178,共25页The Journal of World Economy

基　　金：国家自然科学基金应急管理项目(71850006);国家社会科学基金青年项目(17CJY002)的资助。

摘　　要：本文以"沪港通"的实施作为资本市场开放的准自然实验,构建双重差分模型,考察资本市场开放如何影响企业全要素生产率。研究发现:沪港通的实施有助于促进企业全要素生产率提升,在运用倾向得分匹配等一系列稳健性检验后结论仍然成立。沪港通提升企业全要生产率的核心机制是增加股价特质信息含量,而非提高股价信息传递效率。而蕴含在股价波动中的特质信息含量增加,不仅能够提高资本市场定价效率,矫正股票的错误定价,还可提升企业信息披露质量,最终作用于企业全要素生产率提升。异质性检验发现,沪港通对全要素生产率的正向影响在风险承担能力强、成长性高和面临激烈市场竞争的企业中更为明显。本文的研究表明资本市场开放对于促进中国实体经济健康发展具有重要作用,为进一步加大资本市场有序开放提供理论依据。This paper takes the implementation of the"Shanghai-Hong Kong Stock Connect"as a quasi-natural experiment in opening up the capital market,constructing a difference-in-differences(DID)model and examining the effect of capital market opening up on corporate total factor productivity(TFP)and its mechanism.It finds that capital market opening up has a positive effect on corporate TFP,and that the results remain valid after a series of robustness tests,such as propensity score matching(PSM).An in-depth analysis also reveals that the content of stock price information,rather than the efficiency of the stock price information transmission,is the core mechanism through which"Shanghai-Hong Kong Stock Connect"improves corporate TFP.Increased stock price informativeness,correction of the mispricing of stocks and improved quality of corporate information disclosure are three mechanisms that allow the capital market opening to improve corporate TFP.Finally,heterogeneity tests suggest that the positive effect of"Shanghai-Hong Kong Stock Connect"on TFP is more pronounced in firms with a strong risk-taking capacity,high growth potential and fierce competition in the market.These results shed light on the real effects of the capital market opening up on economic growth.

关 键 词：沪港通 资本市场开放 全要素生产率 股价信息含量 信息披露 

分 类 号：F832.51[经济管理—金融学]