资本市场开放能否有效降低A股股价信息风险?——基于“沪港通”推出的准自然实验研究  

Can capital market opening effectively reduce the stock price information risk of A-share stocks:An empirical research with“Shanghai-Hong Kong Stock Connect”as quasi-natural experiment

作　　者：刘晓群 余柳春 陈海强 LIU Xiaoqun;YU Liuchun;CHEN Haiqiang(International Business School,Hainan University,Haikou 570228,China;Wang Yanan Institute for Studies in Economics(WISE),Xiamen University,Xiamen 361005,China;Department of Finance,School of Economics,Xiamen University,Xiamen 361005,China)

机构地区：[1]海南大学国际商学院,海口570228 [2]厦门大学王亚南经济研究院,厦门361005 [3]厦门大学经济学院金融系,厦门361005

出　　处：《系统工程理论与实践》2023年第12期3407-3423,共17页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(72101067,72361011,72233002);海南省自然科学基金(722RC626)。

摘　　要：资本市场开放可能因为境外投资者拥有信息分析优势以及更广泛的信息获取渠道加剧股价信息风险,然而也被广泛认为可以引进成熟投资者,改善流动性,降低投资者面临的信息风险.本文采用Yang等(2020)提出的异常特质波动率(AIV)作为股价信息风险的综合测度,利用我国“沪港通”政策推出作为政策冲击,通过双重差分法探究资本市场对外开放对股价信息风险的影响.研究结果表明“沪港通”政策的实施整体降低了“沪港通”标的股票的信息风险,且在采用随机设计(RD)方法减少进入“沪港通”名单的内生性问题后依然稳健.机制检验表明,“沪港通”政策引入境外投资者,改进了市场流动性,带来了更多分析师覆盖,同时提高了企业信息披露质量,从信息利用和信息生成两个角度降低了股价信息风险.本文研究丰富了股价信息风险文献,在实践层面上亦为后续资本市场对外开放提供政策制定参考.The openness of capital markets may aggravate information risk as foreign investors have better information analysis ability and extensive information access channels.However,it is widely expected to improve liquidity and reduce stock price information risk by attracting longterm and mature investors.In this paper,the abnormal idiosyncratic volatility(AIV)proposed by Yang et al.(2020)is used as the measurement of stock price information risk,and the implementation of China’s“Shanghai-Hong Kong Stock Connect”policy is applied as the policy shock to explore the impact of capital market opening on stock price information risk from the micro level through difference-in-difference model.The results show that the implementation of“Shanghai-Hong Kong Stock Connect”policy has reduced the information risk of the underlying stocks of“Shanghai Stock Connect”as a whole,and the above results are still robust in reducing the endogeneity of experimental group selection by adopting the method of random design(RD).Further mechanism test shows that the“Shanghai-Hong Kong Stock Connect”policy introduces foreign investors,improves market liquidity and brings more analyst coverage,and enhances the quality of enterprise information disclosure.Therefore,it simultaneously reduces the stock price information risk from the perspectives of information use and information generation.This paper not only enriches the literature of stock price information risk,but also provides a reference for policy making for the subsequent opening of capital market in practice.

关 键 词：资本市场开放 信息风险 异常特质波动率 沪港通 

分 类 号：F830[经济管理—金融学] F12