The Impact Of Capital Market Liberalization On Stock Pricing Efficiency

The two-way opening of the capital market is the institutional innovation of China’s new round of opening up,and also the key force to promote the common prosperity of the international capital market.One of the purposes of China’s capital market opening is to give full play to the reasonable pricing function of stocks,optimize the allocati on of resources,and boost high-quality economic development.Therefore,it is of great significance to study the relationship between capital market openness and stock pricing efficiency for China’s high-quality economic development.Based on the sample of Chinese A-share listed companies from 2010 to 2020,this paper studies the short and long term impact of China’s capital market opening on stock pricing efficiency and its internal transmission mechanism by using the DID model.Firstly,using the quasi-natural experiment of Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect,this paper systematically discusses the long and short term impact of capital market opening on stock pricing efficiency from the perspective of stock price synchronicity.We find that Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect can significantly improve stock pricing efficiency,and this improvement effect is more significant in the long run,but has no significant improvement effect in the short run.This conclusion is still valid after PSM-DID test,placebo test,replacing explained variable,eliminating the sample of "A+H" listed companies,and changing the sample period,indicating that China’s capital market opening policy has a certain time lag.Secondly,in the influence mechanism,this paper starts from the information effect and corporate governance effect,By constructing the research framework of "capital market opening-internal information disclosure quality-stock pricing efficiency","capital market opening-external analyst tracking quantity-stock pricing efficiency","capital market opening-internal governance-stock pricing efficiency" and "capital market opening-external supervision-stock pricing efficiency",More comprehensively explore the transmission mechanism of capital market opening affecting stock pricing efficiency.The results show that the two influence paths are not the same.The main performance is as follows: Shanghai-Hong Kong Stock Connect can improve stock pricing efficiency through three ways: internal information disclosure quality,external analyst tracking quantity and external supervision;ShenzhenHong Kong Stock Connect can improve stock pricing efficiency not only through the above three paths,but also through internal governance.Further heterogeneity analysis shows that the improvement effect of capital market opening on stock pricing efficiency is more significant in non-state-owned enterprises and enterprises with relatively dispersed ownership concentration.According to the research conclusions,this paper puts forward four policy recommendations: first,continue to promote the opening of the capital market;Second,accelerate the improvement of the stock market system construction,improve the quality of enterprise information disclosure;Third,improve the internal governance mechanism of listed companies;Fourth,strengthen the external supervision mechanism.