| The Shanghai-Hong Kong Stock Connect program is an important milestone in the opening up of China’s capital market,and its successful implementation marks a solid step for the interconnection of the A-share market and the Hong Kong market.The Shanghai-Hong Kong Stock Connect program has been operating stably for more than five years,and has always been contributing to the orderly development of the domestic A-share market.With the help of the Shanghai-Hong Kong Stock Connect program,the A-share market has also become more mature.One important aspect is the improvement of its information efficiency.This article mainly analyzes the impact of Shanghai-Hong Kong Stock Connect program on the information efficiency of A-share market,including the impact direction,impact scale and influence trend.Through a large amount of literature and theoretical research,this article first gives a clear definition of market information efficiency,which contains two factors:stock information content and information transmission speed.Based on this,combined with the theoretical foundation and practical experience,we put forward corresponding hypotheses on the theme of Shanghai-Hong Kong Stock Connect program affecting the A-share market information efficiency.In the follow-up empirical process,this article sets the target stocks of Shanghai-Hong Kong Stock Connect program as the experimental group,the non-target stocks of Shanghai-Hong Kong Stock Connect program and the non-target stocks of Shenzhen-Hong Kong stock Connect program as the control group.The research section is four years before and after the implementation,and the hypotheses are tested through the method of PSM-DID and grouping.The conclusion is that the implementation of Shanghai-Hong Kong Stock Connect program has improved both the stock information content and information transmission speed of the A-share market.In other words,the Shanghai-Hong Kong Stock Connect program improved A-share market information efficiency.During a longer period of time,the promotion effect shows a more obvious trend effect with time,and there are certain differences in the characteristics displayed in different markets.Finally,based on the empirical results,this article also puts forward corresponding policy recommendations from three aspects:deepening the opening of the capital market,controlling systemic risks,and optimizing the investment environment. |
