Research On Pricing Efficiency Of Shanghai, Shenzhen And Hong Kong Stock Market Under Interconnection Trading Mechanism

The important goal of the stock market is to optimize the allocation of resources to Pareto,and the key to judge whether the process of resource allocation is efficient or not is to measure the pricing efficiency of the stock market.In view of the fact that domestic and foreign scholars have proved that opening a country’s stock market to the outside world will have an important impact on its pricing efficiency,therefore,under the background of the gradual opening up of the stock market in China,It is very important to study the influence of Shanghai-Hong Kong Stock Connect(SH-HKSC)and Shenzhen-Hong Kong Stock Connect(SZ-HKSC)on its pricing efficiency.Based on the implementation of the interconnection trading mechanism,this paper discusses the pricing efficiency of the Shanghai,Shenzhen and Hong Kong stock markets,and not only provides empirical evidence from the Chinese market on the impact of the opening up of the stock market on the pricing efficiency,It can also provide theoretical support for the opening-up policy of the stock market,such as the Shanghai-London Stock Connect,which is about to be run.In addition,the theoretical and empirical support it provides to the research field can also deepen the investors’ correct understanding of the mechanism and path of the impact of connectivity on the pricing efficiency of the stock market.In this paper,in the background of the successive implementation of SH-HKSC and SZ-HKSC,an AH double-listed company is used as the research object,and the index of the stock pricing efficiency is constructed from the market information reflecting angle as the core index,and the pricing efficiency index is constructed from the price difference angle of the AH unit as the auxiliary index.The effect of the interconnection and interconnection trading mechanism on the pricing efficiency of the stock market in Shanghai and Shenzhen is examined.The purpose of this paper is to choose the AH double listed company as the research object,because the AH double-listed company is the target stock which is included in the Shanghai-Hong Kong and Shenzhen-Hong Kong,and the second,the AH double-listed company can represent the target of the mainland market and represent the target of the Hong Kong market.From the AH dual listed companies’ own information can fully reflect the difference between the mainland and Hong Kong.The research interval is divided into three stages,that is,before the opening of the SH-HKSC,from the opening of the SH-HKSC to the opening of the SZ-HKSC,and after the opening of the SZ-HKSC.The paper tests and analyzes the impact of the implementation of the SH-HKSC and the SZ-HKSC on the pricing efficiency of the underlying stock one by means of non-parametric test,multiple regression model and difference in difference model.The conclusions are as follows:(1)The implementation of interconnection trading mechanism improves the pricing efficiency of underlying stocks,but does not fully achieve the desired results.With the implementation of the SH-HKSC,the stock of the Shanghai-listed has been reduced the pricing efficiency in terms of reflecting the market information content and the degree of dependence on the delayed market information,and has improved the stock price of the stock of Hong Kong stocks in Shanghai Stock Exchange to reflect the market information speed.Thus improving its pricing efficiency.The implementation of SZ-HKSC has promoted the pricing efficiency of Shenzhen-listed shares in both the level of market information content and the speed of market information,while the pricing efficiency of the stock of Hong Kong stocks in Shenzhen Stock Exchange has decreased.(2)There are differences in the influence of SH-HKSC and SZ-HKSC on the pricing efficiency of stock market.The influence of SZ-HKSC on stock pricing efficiency is stronger than that of SH-HKSC on stock pricing efficiency.Only from the point of view that the interconnection trading mechanism affects the mainland securities market,the implementation effect of the SH-HKSC is not stable,and to a certain extent,it reduces the pricing efficiency of the Shanghai-listed shares.While the implementation of the SZ-HKSC has improved the pricing efficiency of the Shenzhen-listed shares.Therefore,it can be made clear that the implementation effect of SZ-HKSC is better than that of SH-HKSC.This conclusion is further confirmed by the results of robustness test in this paper.Before the implementation of the SZ-HKSC,the implementation of the SH-HKSC reduced the pricing efficiency of AH stocks from the point of view of premium rate.After the implementation of the SZ-HKSC,AH stocks have improved the pricing efficiency from the premium rate level,indicating that the implementation effect of the SZ-HKSC is obviously better than that of the SH-HKSC.(3)There are differences in the influence of interconnection trading mechanism on the pricing efficiency of mainland stock market and Hong Kong stock market,and the influence on the pricing efficiency of mainland stock market is stronger than that on the pricing efficiency of Hong Kong stock market.In a separate analysis of the impact of the opening of the SH-HKSC and the SZ-HKSC on the pricing efficiency of their respective underlying stocks,it is found that after the implementation of the SH-HKSC,the pricing efficiency of both stocks has been reduced.Moreover,the pricing efficiency of Shanghai-Hong Kong Stock Market is obviously reduced in terms of information content and information speed.The implementation of SZ-HKSC has improved the stock pricing efficiency of Shenzhen-Hong Kong Stock Exchange and reduced the stock pricing efficiency of Shenzhen-Hong Kong Stock Market.Therefore,compared with the mainland and Hong Kong stock markets,The implementation of the interconnection trading mechanism has a stronger effect on the pricing efficiency of the mainland stock market than on the pricing efficiency of the Hong Kong stock market..China’s interconnection trading mechanism is still in the stage of continuous improvement.Based on the study of the impact of the opening of the SH-HKSC and SZ-HKSC on the pricing efficiency of the Shanghai-Shenzhen-Hong Kong stock market,The following suggestions are put forward: firstly,to change the attitude towards the transaction mechanism of connectivity;The second is to balance the capital flow between Shanghai and Shenzhen stock markets and expand the channels of incremental capital inflow and outflow from the two markets;Third,to enhance connectivity,improve the system construction,and maintain a positive relationship between Shanghai,Shenzhen and Hong Kong;Fourth,strengthen the integration of the mainland stock market and Hong Kong stock market.The innovations of this paper are as follows: firstly,based on the different time nodes between SH-HKSC and SZ-HKSC,the two-stage double difference test is carried out on the two time nodes before and after the implementation of the SH-HKSC,and before and after the implementation of the SZ-HKSC.The second is to construct the index of pricing efficiency from the perspective of the premium rate of AH shares to test the robustness.The deficiency of this paper is that the practical life of SZ-HKSC is limited,and the number of samples selected is limited,which may make the empirical results not broadly representative.It is necessary to further test the robustness of the research results after the implementation of the SH-HKSC and SZ-HKSC for a longer period of time.