资本市场开放与伪羊群行为-基于沪深港通的证据  

Stock Market Liberalization and Spurious Herding:The Evidence from the“Shanghai-Shenzhen-Hong Kong Stock Connect”Mechanism

作　　者：李沁洋[1] 石玉阶 何丽萍 刘向强[1] LI Qinyang;SHI Yujie;HE Liping;LIU Xiangqiang(College of Economics and Management,Southwest University,Chongqing 400715,China)

机构地区：[1]西南大学经济管理学院,重庆400715

出　　处：《管理科学》2024年第3期138-158,共21页Journal of Management Science

基　　金：国家社会科学基金(22FGLB093);国家自然科学基金(71902165)。

摘　　要：作为近年来中国资本市场开放进程中最重大的制度创新,沪深港通机制推动中国资本市场进入高水平开放新阶段。自沪深港通开通以来,沪深港通标的公司股票深受证券投资基金等机构投资者青睐,呈现出明显的基金抱团现象。然而,部分非沪深港通标的公司在这期间却鲜有机构投资者关注和持仓。因此,有必要探讨资本市场开放对机构投资者羊群行为的影响。选取中国2008年至2020年沪市A股上市公司和2012至2020年深市A股上市公司为初始样本,构建多时点双重差分模型,探究资本市场开放会如何影响机构投资者羊群行为。进一步,如果沪深港通机制确实引发了机构投资者羊群行为,则通过考察这种羊群行为与市场定价效率的关系来辨析该羊群行为的真伪性。同时检验资本市场开放通过何种机制影响机构投资者羊群行为。研究发现,沪深港通机制开通后,相较于非沪深港通标的公司而言,沪深港通标的公司机构投资者羊群行为变得更加明显。并且,沪深港通开通后,对于机构投资者羊群行为更严重的标的公司而言,其股票错误定价现象得到矫正,股价滞后性有所降低。以上研究结果表明,由沪深港通机制引发的机构投资者羊群行为属于基于共同信息驱动的伪羊群行为,有助于信息更快地融入股价,提升资本市场定价效率。进一步研究表明,沪深港通机制主要通过改善标的公司信息披露质量,进而加剧机构投资者伪羊群行为。异质性检验结果显示,沪深港通机制启动后,在前十大股东含香港投资者的公司、成长性更高的公司和非国有公司中,机构投资者伪羊群行为变得更为明显。研究有助于深化对羊群行为理论的认识,明晰中国资本市场开放的政策效应,并为中国加快构建开放型经济新体制提供重要参考和启示。As the most significant institutional innovation in the stock market liberalization process in China recently,the Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connect has promoted China′s capital market into a new stage of highlevel opening-up.Since the opening of the Shanghai-Shenzhen-Hong Kong Stock Connect,the eligible firms that are subject to the Shanghai-Shenzhen-Hong Kong Stock Connect have been favored by institutional investors such as securities investment funds,showing an obvious phenomenon of“fund holding together”.However,some non-Shanghai-Shenzhen-Hong Kong Stock Connect eligible firms received little attention and positions from institutional investors during this period.Therefore,it is necessary to explore the impact of stock market liberalization on the herding behavior of institutional investors.China′s A-share listed companies in Shanghai from 2008 to 2020 and A-share listed companies in Shenzhen from 2012 to 2020 were selected as initial samples,and staggered DID was employed to examine the effect of stock market liberalization on institutional herding.Further,if the Shanghai-Shenzhen-Hong Kong Stock Connect does trigger institutional herding,the authenticity of this herd behavior can be distinguished by analyzing the relationship between institutional herding and market pricing efficiency.At the same time,this study examines the mechanism through which stock market liberalization affects institutional herding.This study finds that compared with non-eligible firms,the Shanghai-Shenzhen-Hong Kong Stock Connect intensifies institutional herding in eligible firms.Moreover,after the launch of the Shanghai-Shenzhen-Hong Kong Stock Connect,for the eligible firms with more serious institutional herding,the stock mispricing phenomenon has been corrected,and the stock price delay has also been reduced.The above research results indicate that institutional herding triggered by the Shanghai-Shenzhe-Hong Kong Stock Connect is spurious herding driven by common information,which is conducive to t

关 键 词：资本市场开放 羊群行为 机构投资者 沪深港通 市场定价效率 

分 类 号：F832.5[经济管理—金融学]