沪港通对沪市标的股票价格发现速度影响的实证研究

发布时间：2018-04-30 12:40

本文选题：沪港通 + 价格发现速度　；参考：《商业研究》2017年07期

【摘要】：沪港通作为一种双边互联制度,其对市场效率带来的影响不同于传统金融市场开放。本文以沪港通开通为事件进行DID回归分析同时以沪港通双边交易数据为基础进行了回归分析,并将证券的"价格发现速度"分为"价格反映市场公共信息的速度"、"价格反映个股特质性信息的速度",探讨沪港通推出对沪股通标的"价格发现速度"的影响。研究发现,沪港通机制的推出整体上提高了"股价反映市场公共信息的速度"却可能降低沪股通标的"股价反映特质性信息的速度"。其中,沪股通交易显著提高其标的"价格反映市场公共信息的速度",而港股通交易却可能起到相反的作用,同时港股通交易也可能有助于提高沪股通标的"股价反映市场公开信息的速度"。本文研究为进一步推出沪伦通、深港通提供了一定的支持证据。
[Abstract]:As a bilateral interconnection system, Stock Connect has a different effect on market efficiency than traditional financial market opening. In this paper, the DID regression analysis is carried out on the event of the opening of the Stock Connect, and the regression analysis is carried out on the basis of the bilateral transaction data of the Stock Connect. The "speed of price discovery" of securities is divided into "the speed of price reflecting the public information of the market" and "the speed of price reflecting the characteristic information of individual stocks", and the influence of the launch of the Stock Connect on the speed of "price discovery" of the Shanghai Stock Connect is discussed. It is found that the introduction of the Shanghai-Hong Kong Stock Connect mechanism can improve the speed of the stock price reflecting the public information of the market, but it may reduce the speed of the stock price reflecting the characteristic information. Among them, the Shanghai Stock Connect transaction has significantly increased its target, "Price reflects the speed of public information in the market," while the Hong Kong Stock Connect transaction may have the opposite effect. At the same time, Hong Kong Stock Connect trading may also help to improve the Shanghai Stock Connect bid "share prices reflect the speed of open market information." This study provides some supporting evidence for the further introduction of Shanghai Stock Connect and Shenzhen-Hong Kong Stock Connect.
【作者单位】：上海交通大学安泰经济与管理学院;同济大学经济与管理学院;
【分类号】：F832.51

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