沪港通对中国市场效率的影响  

The effect of the Shanghai-Hong Kong Stock Connect program on market efficiency in China

作　　者：王雨辰 蔡经纬 WANG Yuchen;CAI Jingwei(International Institute of Finance,School of Management,University of Science and Technology of China,Hefei 230601,China;School of Management,University of Science and Technology of China,Hefei 230026,China)

机构地区：[1]中国科学技术大学管理学院国际金融研究院,安徽合肥230601 [2]中国科学技术大学管理学院,安徽合肥230026

出　　处：《中国科学技术大学学报》2021年第9期699-716,共18页JUSTC

基　　金：supported by the Provincial Natural Science Foundation of Anhui(1908085QG299).

摘　　要：研究了沪港通对中国市场效率的影响.应用双重差分模型,我们发现连通公司在公告后的20 d内价格增加约4%,并且成交量、流动性和波动性显著增加.我们的研究表明投资者对波动风险要求溢价.此外,在上海市场,香港投资者的参与有助于降低连通股票的波动性,而在香港市场,上海投资者的参与增加了连通股票的波动性.这种跨市场的差异与投资者交易行为在不同市场上的异质性是一致的.这表明两个市场之间存在风险溢出效应.价格重估和风险溢出表明,沪港通的实施提高了中国市场的效率.We study the effect of the Shanghai-Hong Kong Stock Connect program on market efficiency in China.Applying a difference-in-differences model,we find that connected firms experience a higher about 4%price impact and significantly increased turnover,liquidity,and volatility in 20 days following the announcement.Our results support the evidence that investors demand a premium for volatility risk.Furthermore,in the Shanghai market,the participation of Hong Kong investors helps reduce the volatility of connected stocks,while in the Hong Kong market,the participation of Shanghai investors increases the volatility.The finding of this cross-market variation is consistent with the heterogeneity of investors’trading behavior across different markets and reflects the existence of risk spillovers between those two markets.The price revaluation and risk spillovers illustrate that the implementation of the program has greatly improved the efficiency of the Chinese market.

关 键 词：沪港通 股票回报 股票波动 投资者异质性 

分 类 号：F831.5[经济管理—金融学]