沪港通对沪市标的股票价格发现速度影响的实证研究

商业研究

沪港通对沪市标的股票价格发现速度影响的实证研究

吕大永1，阮青松2，万孝园1

1．上海交通大学安泰经济与管理学院，上海 200030； 2.同济大学经济与管理学院，上海 200092

收稿日期:2017-02-17 出版日期:2017-07-20
作者简介:吕大永（1986-），男，福建漳浦人，上海交通大学安泰经济与管理学院博士研究生，研究方向：微观市场结构、公司金融；阮青松（1971-），男，湖南辰溪人，同济大学经济与管理学院教授，管理学博士，研究方向：实验经济学、行为金融学、公司治理；万孝园（1989-），女，安徽宣城人，上海交通大学安泰经济与管理学院博士研究生，研究方向：证券市场流动性、资产定价实证与行为金融。

An Empirical Study of the Effect of SH-HK Stock Connect on the Stock Price Discovery Speed Underlying Stock in Shanghai Stock Exchange

LV Da-yong1,RUAN Qing-song2,WAN Xiao-yuan1

1. Antai College of Economics and Management, Shanghai Jiaotong University, Shanghai 200030, China;2.School of Economics and Management, Tongji University, Shanghai 200092, China

Received:2017-02-17 Online:2017-07-20

摘要/Abstract

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。

关键词: 沪港通, 价格发现速度, 价格延迟, 信息效率

Abstract: As a kind of bilateral connection policy, SH-HK Stock Connect has a different effect on market efficiency compared with the opening policy of traditional financial market. In order to investigate the effect of the connection policy on the price discovery speed of Shanghai Stock market, the paper conducts DID regression analysis based on the bilateral transaction data of SH- HK Stock Connect, and divides the price discovery speed of securities into “price reflecting the speed of market public information” and “price reflecting the speed of idiosyncratic information of stocks”. Research finds that the implementation of the SH-HK connect mechanism significantly accelerates “price reflecting the speed of market public information”, but may decrease “price reflecting the speed of idiosyncratic information of stocks” underlying stock in shanghai Stock Exchange. What′s more, trading of the underlying stocks in Shanghai plays the same role as above, while trading of the underlying stocks in Hong Kong may have opposite effect and would be conducive to accelerate “price reflecting the speed of market public information”.What we found in this paper provide positive evidence for the forthcoming program such as Shanghai-London stock connect, Shenzhen-Hong Kong stock connect.

Key words: SH-HK Stock Connect, price discovery speed, price delay, information efficiency

吕大永1，阮青松2，万孝园1. 沪港通对沪市标的股票价格发现速度影响的实证研究[J]. 商业研究.

LV Da-yong1,RUAN Qing-song2,WAN Xiao-yuan1. An Empirical Study of the Effect of SH-HK Stock Connect on the Stock Price Discovery Speed Underlying Stock in Shanghai Stock Exchange[J]. 商业研究.

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