| 摘要: |
| 沪深港通作为中国资本市场对外开放的重大举措，近年来受到学术界和实务界的广泛关注。本文基于沪深港通这一准自然实验，利用2008－2020年沪市和2012－2020年深市A股上市公司数据，构建多时点双重差分模型（Staggered DID），考察资本市场开放对股价波动性的影响及作用机制。研究发现，中国沪深港通资本市场开放机制有助于降低股价波动性，且该作用在治理水平较低、代理成本较高以及没有QFII持股的公司中更为显著。作用机制分析表明，沪深港通制度通过引入境外投资者，吸引更多分析师关注，提高信息披露质量和外部监督水平，进而降低股价波动性。本文研究丰富了股价波动性的相关文献，为中国深化资本市场开放，建设更高水平开放型经济新体制提供了重要的经验借鉴。 |
| 关键词: 资本市场开放；沪深港通；股价波动性 |
| DOI： |
| 分类号:F830.9 |
| 基金项目:基金项目：重庆市社会科学规划项目“数字化转型促进重庆市企业创新的作用机理及效应研究”（2021NDYB047）；国家社会科学基金“资本市场开放的微观经济效应研究：基于‘沪深港通’制度的经验证据”（22FGLB093）。 |
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| Capital Market Opening and Stock Price Volatility：Empirical Evidence from Shanghai-Shenzhen-Hong Kong Stock Connect |
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LI Qing-yang，YUAN Meng-si
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(School of Economics and Management,Southwest University)
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| Abstract: |
| Shanghai-Shenzhen-Hong Kong Stock Connect，as an important measure of Chinas capital market opening to the outside world，has been widely concerned by academic and practical field in recent years.Based on the quasi-natural experiment of Shanghai-Shenzhen-Hong Kong Stock Exchange，this paper uses the data of A-share listed companies in Shanghai Stock Exchange from 2008 to 2020 and Shenzhen Stock Exchange from 2012 to 2020 to construct a Staggered Differences-in-Differences (Staggered DID),and investigates the influence and mechanism of capital market opening on stock price volatility.The study found that the capital market opening mechanism of China’s Shanghai-Shenzhen-Hong Kong Stock Connect helps to reduce the volatility of stock prices，and this effect is more significant in companies with poor governance level，high agency cost and no QFII shareholding.The mechanism analysis shows that the mechanism of Shanghai-Shenzhen-Hong Kong Stock Connect attracts more analysts- attention by introducing foreign investors，improves the quality of information disclosure and the level of external supervision，and then reduces the volatility of stock price.This paper not only expands the related research of stock price volatility，but also provides important experience for China to deepen the opening of capital market and build a new system of higher level open economy. |
| Key words: Capital Market Opening；Shanghai-Shenzhen-Hong Kong Stock Connect；Stock Price Volatility |
