| On November 17,2014,the China Securities Regulatory Commission(CSRC)announced the formal launch of the Shanghai Stock Exchange and the Stock Exchange of Hong Kong(hereinafter referred to as the "Shanghai-Hong Kong Connect" mechanism).This is a new cross-border investment model designed under the condition that China's capital account has not been fully convertible.It is a milestone in the history of capital market opening.It will have a far-reaching impact on China's capital market.From the macro perspective,the implementation of the Shanghai-Hong Kong Connect mechanism will help to strengthen the comprehensive strength of China's capital market and enhance its competitiveness in the market;consolidate the status of Shanghai and Hong Kong as two major financial centers;enhance the attractiveness of the two markets to overseas investors;and broaden the channels for overseas investment in Renminbi funds and promote Renminbi.Internationalization process.From the micro perspective,more international investors from developed regions participate in A share price competition,to a certain extent,it helps to improve the investor relationship of listed companies,enhance the level of corporate governance,and profoundly affect the behavior of market economic entities.Therefore,exploring the economic consequences of the policy of Shanghai and Hong Kong has become an important proposition.However,this kind of research is still in its infancy,single-point research is relatively weak,has not yet formed a systematic system,the impact of the Shanghai-Hong Kong Communications mechanism on the capital market and its mechanism is still unclear.Based on this,this article attempts to provide micro evidence for this issue.On the one hand,this paper analyzes the reasons for developing countries to open their capital markets with the theories of neoclassical economics theory and financial development theory;On the other hand,it combines the Efficient Market Hypothesis,Investor Cognition Hypothesis and Liquidity Hypothesis and other modern capital market theories,in-depth analysis of the basic functions of capital market opening and its impact mechanism;Thirdly,it is based on the innovative form of capital market opening—ShangHai-Hong Kong stock connect mechanism,analyses its characteristics and influencing mechanism,and points out that there are two main policy effects in the mechanism of ShangHai-Hong Kong stock connect: governance effect and information effect.Finally,according to the policy effects brought by ShangHai-Hong Kong stock connect,Combining Agent Theory with Information Asymmetry Theory from the information environment of listed companies,financing constraints,stock price collapse risk three perspectives put forward research hypothesis,test,thus systematically constructed the capital market open economic consequences of the research system.Specifically,the following conclusions are drawn from the following aspects:Firstly,under the analytical paradigm of neoclassical economics,institutional economics and political economics,the reasons for the liberalization of the capital market are analyzed.According to the law of diminishing marginal utility,the developed countries have abundant capital,low marginal output of capital,but developing countries lack capital and higher marginal capital output.In the absence of regulation and free flow of capital,capital flows from rich developed countries to poor developing countries,thus promoting the expansion of investment in developing countries and promoting economic growth,while developed countries achieve higher investment returns.According to the theory of financial repression,the market mechanism of developing countries can not be fully developed.There are some phenomena such as single financial institutions,monotonous financial assets,excessive regulation of financial activities,and extremely low financial efficiency.The theory of financial deepening aims to relieve financial repression and improve the resource allocation function of capital market.Its core point is that economic development and financial system promote and restrict each other.Appropriate financial reform will help economic growth and form a virtuous circle between economic development and financial deepening.However,the practice of capital market opening in developing countries has not achieved satisfactory results.On the basis of summing up the lessons of failure,the theory of financial restraint came into being at the historic moment.The theory holds that the opening of capital market can not be completed overnight.The government should adopt the mode of "financial restraint" to gradually transition.Financial restraint does not hinder financial deepening,but promotes financial deepening by creating rents for banks and enterprises through a set of financial policies.Secondly,from the perspective of modern capital market theory,this paper analyzes the function and mechanism of capital market opening in stock market and real economy.Efficient Market Hypothesis(EMH)has established the core of modern capital market theory,which makes the analysis of financial problems from qualitative to quantitative.Its theoretical significance lies in that the fundamental way to improve the effectiveness of the securities market is to solve the problems of information disclosure,information transmission,information interpretation,information feedback and other links in the process of stock price formation.From this point of view,this paper takes the information environment of listed companies as the starting point of empirical research,which conforms to the essence of the efficient market hypothesis.Another function of the stock market liberalization is to enhance market liquidity.With the entry of more international institutional investors,the volume of related stocks will increase significantly,trading orders will be executed quickly and transaction costs will be reduced.The improvement of stock liquidity can reduce the liquidity risk premium and investors' compensation,and then reduce the cost of equity capital,which is the core of the liquidity hypothesis.Opening global attention is another function of stock market liberalization.Investor Cognition Hypothesis holds that the opening of the capital market will inevitably bring more overseas investors,more analysts tracking and media attention.Therefore,the opening of the capital market is conducive to improving the investor awareness of the target company and expanding the investor base.In addition,due to the involvement of international institutional investors and strict industry regulation,the liberalization of the stock market can also improve the level of corporate governance.Thirdly,as an open form of capital market with Chinese characteristics,the policy effect of the ShangHai-Hong Kong stock connect has entrusted more profound connotations.On the one hand,the ShangHai-Hong Kong stock connect mechanism has introduced a large number of institutional investors from developed regions.These overseas investors either focus on tracking listed companies,or buy shares of listed companies to become strategic shareholders.They often have a more mature investment concept and a strong sense of investor protection.In order to safeguard their own interests and avoid embezzlement risks,they will actively participate in corporate governance.Therefore,the Shanghai-Hong Kong Stock Exchange mechanism has a "governance effect".On the other hand,while bringing in international institutional investors,the ShangHai-Hong Kong stock connect mechanism will promote increased demand for cross-border services.More analysts follow the target listed companies,stre ngthen the supervision of listed companies,restrain the motivation of earnings management,and improve the company's information environment.At the same time,more media will pay attention to and report on related listed companies to enhance the transparency of corporate information.Therefore,the Shanghai-Hong Kong Stock Exchange mechanism has an "information effect".Fourthly,with the aid of the "Shanghai-Hongkong Connect" policy implementation of this exogenous event,from the information environment,financing constraints,stock price crash risk three aspects of the economic consequences of capital market liberalization were analyzed and empirical test.According to the efficient market hypothesis,this paper takes the information environment as the breakthrough point of empirical research.From the perspective of financing constraints and stock price crash risk,the theoretical logic is that both factors are agency conflict and information asymmetry,and the policy effect of Shanghai-Hong Kong Stock Exchange mechanism is also reflected.In the third chapter,using the data of Listed Companies in Shanghai and Shenzhen as the research sample,the paper examines the impact of the Shanghai-Hong Kong Connect mechanism on the information environment of listed companies.This paper takes analyst's forecasting behavior as the proxy variable of information environment.It is found that after the opening of Shanghai and Hong Kong Connect,the number of analysts in the target company increases,the accuracy of forecasting increases,and the divergence of forecasting decreases.Chapter 4 studies the impact of the Shanghai-Hong Kong Connect mechanism on the financing constraints of listed companies,and examines the moderating effect of information environment on the relationship between the two.The results show that,compared with the control group companies,the financing constraints of the treatment group companies significantly increased after the opening of Shanghai-Hong Kong Communications,and this effect is more significant in the group with poor information environment.The impact mechanism study shows that reducing agency conflicts is an important way to ease the financing constraints of the Shanghai-Hong Kong Connect mechanism;the impact path analysis shows that the Shanghai-Hong Kong Connect mechanism is conducive to the target company to obtain the capital needed for development in the capital market at a lower cost,enhances the equity financing quota,and also improves the company's over-reliance on debt.The imbalanced financing structure of funds has promoted the efficiency of financing.In the fifth chapter,we study the impact of the Shanghai-Hong Kong Connect mechanism on the stock price collapse risk of the underlying companies,and examine the mod erating effect of information environment on the relationship between the two.The results show that,compared with the control group,the stock price crash risk of the treatment group decreased significantly after the opening of Shanghai-Hong Kong Connect,and this effect is more significant in the group with poor information environment.Further analysis shows that the stock liquidity enhancement is an important way to reduce the risk of stock price crash,and the Shanghai-Hong Kong Connect mechanism has not suppressed the risk of stock price crash by improving the governance level of listed companies.In this paper,the core content of market microstructure Theory-Information environment as a link,in the process of research,based on accounting,finance and other disciplines in the field of discipline foundation,comprehensive use of economics,finance,statistics and other interdisciplinary knowledge,a systematic theoretical framework,rigorous derivation of theoretical assumptions,in-depth.This paper analyzes the mechanism of impact,fully provides empirical evidence,and comprehensively interprets the economic consequences.Specifically,the innovations of this study are mainly reflected in the following aspects:Firstly,with the help of the quasi-natural experiment of "Shanghai-Hong Kong Connect " and the PSM-DID model,this paper examines the economic consequences of capital market opening,which can effectively alleviate the endogenous problems faced by this research field.Specifically,the analysis of Listed Companies in the same country controls the potential errors caused by omitted variables,such as economic development,institutional environment,religion and culture;furthermore,the opening of Shanghai-Hong Kong Connect provides an exogeno us impact on the degree of capital market openness,eliminating the possibility of reverse causality;Moreover,the pilot mechanism of gradual opening naturally distinguishes the experimental group from the control group,and automatically evades the measurement error of the opening degree of the capital market.Secondly,based on the policy event of Shanghai-Hongkong Connect,this paper constructs a DID model to explore its impact on analysts' forecasting behavior,financing constraints and stock price crash risk,and clarifies the transmission mechanism of capital market opening to the real economy and stock market efficiency.Furthermore,it deepens the research chain of analysts' forecasting behavior,financing constraints,stock price collapse risk factors,effectively complements the existing literature system in relevant fields;and weakens the endogenous problems in the research field of the impact of foreign investors' stock ownership on China's capital market.At the same time,the conclusion is "foreign institutional investors are locusts." The argument provided rebuttal evidence.Thirdly,the foreign research on capital market opening has been very rich,but the empirical evidence about China,the world's largest emerging economy,is still very scarce.China is speeding up the implementation of a new round of high-level opening up,and it is in urgent need of a systematic theoretical system to guide its internationalization process.As an innovative form of opening up China's capital market,Shanghai-Hong Kong Connect will have a far-reaching impact on the reform and development of the capital market.Therefore,it is of great strategic significance to comprehensively and thoroughly analyze the policy effect of Shanghai and Hong Kong Connect.The conclusion of this paper reveals the function path of the mechanism of Shanghai-Hong Kong Connect to the stock market and the real economy.It provides the theoretical basis and empirical support for giving full play to the market stabilization function,risk management function,information improvement function and value promotion function of Shanghai-Hong Kong Connect and promoting the healthy development of the capital market.It also promotes the capital market in China.A new round of high level opening to the outside world provides policy implications. |
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