| In November 2014,the China Securities Regulatory Commission and the Hong Kong Securities Regulatory Commission issued a joint announcement approving the pilot work of Shanghai Stock Exchange and the Hong Kong Stock Exchange Limited on the exchange interconnection mechanism between Shanghai and Hong Kong stock markets(hereinafter referred to as Shanghai and Hong Kong Stock Exchange).Shanghai and Hong Kong Stock Exchange represents that investors in the Mainland and Hong Kong can trade stocks of Listed Companies in the Hong Kong and Mainland markets directly by means of local securities companies.The implementation of Shanghai and Hong Kong Stock Exchange embodies the concrete effect of financial reform at the Third Plenary Session of the Eighteenth Central Committee,and at the same time opens a new chapter of capital market reform in China.Undoubtedly,this reform is a milestone for the two-way opening of capital markets in the Mainland and Hong Kong,and also greatly promotes the internationalization of the RMB.At the same time,the introduction of this policy is also conducive to solving the long-standing problem of stock price overvaluation in China's capital market.So,under the circumstance of foreign investors entering the market,does the "Shanghai-Hong Kong-Tong" mechanism play a positive role in resolving the synchronization of stock prices in China's capital market? Under the circumstances of imperfect investor protection policy,imperfect judicial system and incomplete financial system,it is worth further exploring whether China has the precondition of opening up capital market and whether it can reflect the effect of this mechanism.It is of great theoretical and practical significance to study the changes of stock price information content before and after the implementation of Shanghai and Hong Kong Stock Exchange.The theoretical significance is to explore the impact mechanism of the policy on the information content of Shanghai stock price,so as to expand the relevant research on the path of capital market to improve pricing efficiency.The realistic value is to provide theoretical basis for further deepening the reform of capital market,and to provide assistance for opening up China's capital market and formulating relevant policies in the future.Scholars have made a lot of discussions and studies on the open policy of capital market,the implementation effect of the mechanism of realizing the liberalization of financial market,the factors affecting the information content of market share price and its economic consequences.They have made abundant achievements both in theory and in practice,and laid a theoretical foundation for the analysis of this paper.However,there are few microscopic studies on stock price information content,and the research methods are relatively solid without eliminating endogenous problems.Therefore,this paper takes the three years before and after the implementation of Shanghai and Hong Kong Stock Exchange,namely,2012-2017,as the research time frame,chooses the Shanghai Stock Exchange as the experimental group and the non-Shanghai Stock Exchange of A-share listed companies in Shanghai as the control group,and constructs the PSM-DID model to verify whether the Shanghai and Hong Kong Stock Exchange policy is conducive to improving the information content of Shanghai Stock Exchange.The research contents and conclusions of this paper mainly include the following aspects: Firstly,this paper reviews the existing literature on the impact of Shanghai and Hong Kong Stock Exchange on stock price information content,and summarizes the shortcomings of the existing research.Secondly,the sample stocks of the experimental group and the control group are selected according to whether they are the stock of Shanghai Stock Exchange,and the hypothesis of the influence of Shanghai Stock Exchange on the information content of Shanghai Stock Exchange is put forward by relevant research,then the selection of the corresponding control variables is determined.Thirdly,based on the PSM model,the samples of the experimental group and the control group with similar characteristics are found,and the DID model is used to analyze the real effect of the implementation of the Shanghai-Hong Kong Stock Exchange policy,in order to eliminate the sample deviation and heterogeneity deviation and ensure the accuracy and reliability of the estimated results.Finally,the robustness test shows that the PSM-DID estimation results are robust.Through the research,this paper draws the following conclusions: Excluding the influence of other factors on the information content of Shanghai stock price,as a policy of market opening,the opening of the trading mechanism of Shanghai and Hong Kong Stock Exchange has no obvious effect on promoting the information content of Shanghai and Hong Kong Stock Exchange market as a whole.Subsequently,according to the relevant empirical research results,and combined with China's national conditions and relevant mechanisms,some suggestions are put forward to continue to promote the implementation of the Shanghai-Hong Kong Stock Exchange policy: first,improve the investor penetration mechanism of Shanghai-Hong Kong Stock Exchange and strengthen the regulatory cooperation between the two places;second,properly increase the investment targets and quotas of Shanghai-Hong Kong Stock Exchange,take the road of financial innovation,and increase the types of financial products of Shanghai-Hong Kong.The possible innovations of this paper are as follows: Firstly,the innovation of research perspective,this paper from a micro perspective to analyze the impact of Shanghai and Hong Kong Stock Exchange.Secondly,the innovation of empirical method.In order to reduce the influence of sample deviation and heterogeneity deviation,the test group and control group samples were matched for scoring tendency,and then the double differential regression was used to make a more reasonable comparison between the experimental group and the control group. |
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