资本市场开放能够提高股票价格稳定性吗?:基于沪港通的经验证据
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摘要
基于2012年11月至2016年11月上海证券市场的月度面板数据,文章通过双重差分固定效应模型,分别从不同期间、不同市场开放程度入手,研究沪港通对股票价格稳定性的影响。研究发现,沪港通的实施有效降低了标的股票的整体波动性,波动性在短期的增加只是一种暂时性的现象,沪港通的实施通过扩大股票投资者基础、优化市场投资者结构从而对股价稳定性带来积极影响。随着市场开放程度的增加,沪港通也会对股票的极端波动产生影响,降低公司股价跳升风险,有利于缓解A股市场的投机氛围,但同时也增加了公司股价崩盘风险,带来市场不稳定因素。沪港通实施后公司股票的崩盘风险与中国证券市场薄弱的信息披露环境有关,那些信息披露环境差的公司股票的崩盘风险显著增加。
Based on the monthly panel data of Shanghai stock market from November 2012 to November 2016,this paper studies the impact of SH-HK Stock Connect on the stability of stock prices in different periods and different degrees of market opening by using the DID fixed effect model. The study finds that the implementation of SH-HK Stock Connect effectively reduces the general volatility of underlying stocks,and the short-term increase of volatility is only a temporary phenomenon. The implementation of SH-HK Stock Connect has a positive impact on stock price stability by expanding the stock investor base and optimizing the market investor structure. With the increase of market openness,SH-HK Stock Connect will also have an impact on the extreme volatility of stocks,reducing the risk of stock prices plunge,which is conducive to alleviating the A-share market investment. However,it also increases the risk of stock price crash and brings about market instability. The risk of stock price crash after the implementation of SH-HK Stock Connect is related to the weak information disclosure institation in China's securities market,and the risk of stock price crash of those companies with poor information disclosure institation has increased significantly.
Based on the monthly panel data of Shanghai stock market from November 2012 to November 2016,this paper studies the impact of SH-HK Stock Connect on the stability of stock prices in different periods and different degrees of market opening by using the DID fixed effect model. The study finds that the implementation of SH-HK Stock Connect effectively reduces the general volatility of underlying stocks,and the short-term increase of volatility is only a temporary phenomenon. The implementation of SH-HK Stock Connect has a positive impact on stock price stability by expanding the stock investor base and optimizing the market investor structure. With the increase of market openness,SH-HK Stock Connect will also have an impact on the extreme volatility of stocks,reducing the risk of stock prices plunge,which is conducive to alleviating the A-share market investment. However,it also increases the risk of stock price crash and brings about market instability. The risk of stock price crash after the implementation of SH-HK Stock Connect is related to the weak information disclosure institation in China's securities market,and the risk of stock price crash of those companies with poor information disclosure institation has increased significantly.
引文
[1] Bae K H,Chan K,Ng A.. Investibility and Return Volatility in Emerging Equity Markets[J]. Journal of Financial Economics,2003,71(3):239-263.
[2] Bai Y,Chow DYP. Shanghai-Hong Kong Stock Connect:An Analysis of Chinese Partial Stock Market Liberalization Impact on the Local and Foreign Markets[J]. Journal of International Financial Markets Institutions&Money,2017:182-203.
[3] Bekaert G,Harvey C R.. Time-Varying World Market Integration[J]. Journal of Finance,1995,50(2):403-444.
[4] Bekaert G,Harvey C R,Lundblad C.. Does Financial Liberalization Spur Growth?[J]. Journal of Financial Economics,2005,77(1):3-55.
[5] Bekaert G,Harvey C R.. Foreign Speculators and Emerging Equity Markets[J]. Journal of Finance,2000,55(2):565-613.
[6] Beck T,Levine R,Levkov A.. Big Bad Banks? The Winners and Losers from Bank Deregulation in the United States[J]. The Journal of Finance,2010,65(5):1637-1667.
[7] Chari A,Henry P B.. Risk Sharing and Asset Prices:Evidence from a Natural Experiment[J]. Journal of Finance,2004,59(3):1295-1324.
[8] Choe H,Kho B C,Stulz R M.. Do Foreign Investors Destabilize Stock Markets? the Korean Experience in 1997[J]. Journal of Finance Economics,1999,54(2):227-264.
[9] Chen J,Hong H,Stein J C.. Forecasting Crashes:Trading Volume,Past Returns,and Conditional Skewness in Stock Prices[J]. Journal of Financial Economics,2001,61(3):345-381.
[10] Dornbusch,R.,Park,Y. C.. Financial Integration in a Second-Best World:Are We Still Sure About Our Classical Prejudices. In:Dornbusch,R.,Park,Y. C.(Eds.),Financial Opening:Policy Lessons for Korea. Korea Institute of Finance,Seoul,Korea,1995.
[11] Dvorak,T.. Does Foreign Trading Destabilize Local Stock Markets?. Manuscript,Williams College,2001.
[12] Henry P B.. Do Stock Market Liberalizations Cause Investment Booms?[J]. Journal of Financial Economics,2000,58(1):301-334.
[13] Hutton A P,Marcus A J,Tehranian H.. Opaque Financial Reports,R2,and Crash Risk[J]. Journal of Financial Economics,2009,94(1):67-86.
[14] Kim E H,Singal V.. Stock Market Openings:Experience of Emerging Economies[J]. Journal of Business,2000,73(1):25-66.
[15] Li D,Nguyen Q N,Pham P K.. Large Foreign Ownership and Firm-Level Stock Return Volatility in Emerging Markets[J]. Journal of Financial&Quantitative Analysis,2011,46(4):1127-1155.
[16] Sachs J D,Tornell A,Velasco A,et al.. Financial Crises in Emerging Markets:The Lessons from 1995[J]. Brookings Papers on Economic Activity,1996,(1):147-215.
[17] Stiglitz J E.. Reforming the Global Economic Architecture:Lessons from Recent Crises[J]. Journal of Finance,1999,54(4):1508-1521.
[18] Torre A D L,Gozzi J C,Schmukler S L.. Stock Market Development Under Globalization:Whither the Gains From Reforms?[J]. Journal of Banking&Finance,2007,31(6):1731-1754.
[19] Umutlu M,Akdeniz L,Altay-Salih A.. The Degree of Financial Liberalization and Aggregated Stock-Return Volatility in Emerging Markets[J]. Journal of Banking&Finance,2010,34(3):509-521.
[20] Wang J.. Foreign Equity Trading and Emerging Market Volatility:Evidence from Indonesia and Thailand[J]. Journal of Development Economics,2006,84(2):798-811.
[21] Xuan V V.. Foreign Ownership and Stock Return Volatility-Evidence from Vietnam[J]. Journal of Multinational Financial Management,2015,30:101-109.
[22]李志生,杜爽,林秉旋.卖空交易与股票价格稳定性——来自中国融资融券市场的自然实验[J].金融研究,2015(6):173-188.
[23]刘海飞,柏巍,李冬昕.沪港通交易制度能提升中国股票市场稳定性吗?——基于复杂网络的视角[J].管理科学学报,2018(1):97-110.
[24]许香存,陈志娟.沪港通对股票市场波动性和流动性影响的实证研究[J].浙江工商大学学报,2016(6):76-83.
[25]许从宝,刘晓星,石广平.沪港通会降低上证A股价格波动性吗?——基于自然实验的证据[J].金融经济学研究,2016(6):28-39.
[26]王庶,岳希明.退耕还林、非农就业与农民增收——基于21省面板数据的双重差分分析[J].经济研究,2017(4):106-119.
[27]权小锋,吴世农,尹洪英.企业社会责任与股价崩盘风险:“价值利器”或“自利工具”?[J].经济研究,2015(11):49-64.
[28]钟覃琳,陆正飞.资本市场开放能提高股价信息含量吗?——基于“沪港通”效应的实证检验[J].管理世界,2018(1):169-179.
(1)在处理面板数据时,本文对于使用固定效应模型还是随机效应模型进行了豪斯曼检验,在对后续各种回归分析的检验中,P值很小,均强烈拒绝ui与xi不相关的原假设,所以采用固定效应模型。
(1)考虑到沪港通的实施日为11月的月中,所以在研究样本中不考虑2014年11月这一月份。
(1)被解释变量包括标准差、振幅和跳升风险,因为在之前的实证分析中,已经发现沪港通对这三个股价稳定性指标能带来积极影响。
(2)上交所公告:http://www.sse.com.cn/aboutus/mediacenter/hotandd/c/c_20150912_3988854.shtml。
(1)上交所公告:http://www.sse.com.cn/disclosure/credibility/supervision/dynamic/c/c_20170818_4361965.shtml。
(2)证券分析师盈利预测报告的数据来自Wind数据库。
(3)因篇幅限制,稳健性检验结果未列示。
[2] Bai Y,Chow DYP. Shanghai-Hong Kong Stock Connect:An Analysis of Chinese Partial Stock Market Liberalization Impact on the Local and Foreign Markets[J]. Journal of International Financial Markets Institutions&Money,2017:182-203.
[3] Bekaert G,Harvey C R.. Time-Varying World Market Integration[J]. Journal of Finance,1995,50(2):403-444.
[4] Bekaert G,Harvey C R,Lundblad C.. Does Financial Liberalization Spur Growth?[J]. Journal of Financial Economics,2005,77(1):3-55.
[5] Bekaert G,Harvey C R.. Foreign Speculators and Emerging Equity Markets[J]. Journal of Finance,2000,55(2):565-613.
[6] Beck T,Levine R,Levkov A.. Big Bad Banks? The Winners and Losers from Bank Deregulation in the United States[J]. The Journal of Finance,2010,65(5):1637-1667.
[7] Chari A,Henry P B.. Risk Sharing and Asset Prices:Evidence from a Natural Experiment[J]. Journal of Finance,2004,59(3):1295-1324.
[8] Choe H,Kho B C,Stulz R M.. Do Foreign Investors Destabilize Stock Markets? the Korean Experience in 1997[J]. Journal of Finance Economics,1999,54(2):227-264.
[9] Chen J,Hong H,Stein J C.. Forecasting Crashes:Trading Volume,Past Returns,and Conditional Skewness in Stock Prices[J]. Journal of Financial Economics,2001,61(3):345-381.
[10] Dornbusch,R.,Park,Y. C.. Financial Integration in a Second-Best World:Are We Still Sure About Our Classical Prejudices. In:Dornbusch,R.,Park,Y. C.(Eds.),Financial Opening:Policy Lessons for Korea. Korea Institute of Finance,Seoul,Korea,1995.
[11] Dvorak,T.. Does Foreign Trading Destabilize Local Stock Markets?. Manuscript,Williams College,2001.
[12] Henry P B.. Do Stock Market Liberalizations Cause Investment Booms?[J]. Journal of Financial Economics,2000,58(1):301-334.
[13] Hutton A P,Marcus A J,Tehranian H.. Opaque Financial Reports,R2,and Crash Risk[J]. Journal of Financial Economics,2009,94(1):67-86.
[14] Kim E H,Singal V.. Stock Market Openings:Experience of Emerging Economies[J]. Journal of Business,2000,73(1):25-66.
[15] Li D,Nguyen Q N,Pham P K.. Large Foreign Ownership and Firm-Level Stock Return Volatility in Emerging Markets[J]. Journal of Financial&Quantitative Analysis,2011,46(4):1127-1155.
[16] Sachs J D,Tornell A,Velasco A,et al.. Financial Crises in Emerging Markets:The Lessons from 1995[J]. Brookings Papers on Economic Activity,1996,(1):147-215.
[17] Stiglitz J E.. Reforming the Global Economic Architecture:Lessons from Recent Crises[J]. Journal of Finance,1999,54(4):1508-1521.
[18] Torre A D L,Gozzi J C,Schmukler S L.. Stock Market Development Under Globalization:Whither the Gains From Reforms?[J]. Journal of Banking&Finance,2007,31(6):1731-1754.
[19] Umutlu M,Akdeniz L,Altay-Salih A.. The Degree of Financial Liberalization and Aggregated Stock-Return Volatility in Emerging Markets[J]. Journal of Banking&Finance,2010,34(3):509-521.
[20] Wang J.. Foreign Equity Trading and Emerging Market Volatility:Evidence from Indonesia and Thailand[J]. Journal of Development Economics,2006,84(2):798-811.
[21] Xuan V V.. Foreign Ownership and Stock Return Volatility-Evidence from Vietnam[J]. Journal of Multinational Financial Management,2015,30:101-109.
[22]李志生,杜爽,林秉旋.卖空交易与股票价格稳定性——来自中国融资融券市场的自然实验[J].金融研究,2015(6):173-188.
[23]刘海飞,柏巍,李冬昕.沪港通交易制度能提升中国股票市场稳定性吗?——基于复杂网络的视角[J].管理科学学报,2018(1):97-110.
[24]许香存,陈志娟.沪港通对股票市场波动性和流动性影响的实证研究[J].浙江工商大学学报,2016(6):76-83.
[25]许从宝,刘晓星,石广平.沪港通会降低上证A股价格波动性吗?——基于自然实验的证据[J].金融经济学研究,2016(6):28-39.
[26]王庶,岳希明.退耕还林、非农就业与农民增收——基于21省面板数据的双重差分分析[J].经济研究,2017(4):106-119.
[27]权小锋,吴世农,尹洪英.企业社会责任与股价崩盘风险:“价值利器”或“自利工具”?[J].经济研究,2015(11):49-64.
[28]钟覃琳,陆正飞.资本市场开放能提高股价信息含量吗?——基于“沪港通”效应的实证检验[J].管理世界,2018(1):169-179.
(1)在处理面板数据时,本文对于使用固定效应模型还是随机效应模型进行了豪斯曼检验,在对后续各种回归分析的检验中,P值很小,均强烈拒绝ui与xi不相关的原假设,所以采用固定效应模型。
(1)考虑到沪港通的实施日为11月的月中,所以在研究样本中不考虑2014年11月这一月份。
(1)被解释变量包括标准差、振幅和跳升风险,因为在之前的实证分析中,已经发现沪港通对这三个股价稳定性指标能带来积极影响。
(2)上交所公告:http://www.sse.com.cn/aboutus/mediacenter/hotandd/c/c_20150912_3988854.shtml。
(1)上交所公告:http://www.sse.com.cn/disclosure/credibility/supervision/dynamic/c/c_20170818_4361965.shtml。
(2)证券分析师盈利预测报告的数据来自Wind数据库。
(3)因篇幅限制,稳健性检验结果未列示。