| The capital market opening to the outside world is a strategic requirement made by China based on the current economic situation.On December 5,2016,following the important measures to open up the capital market such as QDII,QFII,and the Shanghai-Hong Kong Stock Connect,China securities regulatory commission and Hong Kong securities regulatory commission jointly announce that the Shenzhen-Hong Kong Stock Connect.Mainland and Hong Kong investors can buy and sell stocks listed on the other exchanges within the prescribed scope.This initiative has connected the Shenzhen-Hong Kong markets,injected fresh blood into the mainland stock market,and brought new vitality.In view of the fact that there are few and controversial articles on the impact of Shenzhen-Hong Kong Stock Connect on stock liquidity at this stage,this thesis will explore its impact and effectiveness,and explore the impact mechanism of Shenzhen-Hong Kong Stock Connect on stock liquidity from three aspects: trading channels,information channels and intermediary effects of foreign investors.This thesis selects the monthly data of A-share listed companies on the Shenzhen Stock Exchange from January 2016 to December 2021,in which the underlying stocks of Shenzhen Stock Connect are the treatment group and the non-standard stocks are the control group.Firstly,in this thesis,PSM is used to screen out a group of control groups that are least affected by other factors by using the financial information of listed companies such as company size and corporate revenue performance.Secondly,DID was adopted,taking the illiquidity index as the explanatory variable,the policy variable and the intersection of the policy variable as the explanatory variable,and the financial indicators such as monthly trading days,individual stock return and total asset logarithm as the control variables were used to perform regression analysis for the treatment group and the control group.Finally,starting from the three aspects of trading channels,information channels and foreign investors,the average daily turnover rate,total market value of individual stocks per month,KV index and shareholding ratio of foreign investors are used as intermediary variables to explore the impact mechanism of Shenzhen-Hong Kong Stock Connect on stock liquidity.The empirical results show that the implementation of the Shenzhen-Hong Kong Stock Connect policy has effectively improved the stock liquidity of the underlying stocks of the Shenzhen Stock Connect.Further research results show that trading channels,information channels and overseas investors are the three mechanisms that affect stock liquidity under Shenzhen-Hong Kong Stock Connect,among which Shenzhen-Hong Kong Stock Connect can improve stock liquidity by increasing trading volume and enhancing information disclosure,but it will also reduce stock liquidity by increasing the shareholding ratio of foreign investors to reduce the number of stocks circulating abroad.Based on the empirical analysis results,the corresponding policy recommendations in this thesis are as follows: firstly,the construction of interconnection mechanisms such as the Shenzhen Hong Kong Connect should be continuously optimized,and the excellent experience of interconnection systems such as the Shenzhen Hong Kong Connect should be fully utilized to further expand institutional pilot projects or actively carry out interconnection related measures with other mature international stock markets;Listed companies should improve their internal governance,enhance their own governance capabilities,and avoid the short-sighted effects of management that make them overly focused on short-term interests and neglect long-term development.Secondly,on the basis of implementing the Shenzhen Hong Kong Stock Connect policy to introduce overseas funds,we should take advantage of interconnectivity and absorb advanced experience from other more mature stock markets to improve the trading system and rules of the mainland stock market;Listed companies should actively monitor the investor sentiment and use media reports and other channels to deepen their corporate image in the minds of investors,in order to gain as much attention as possible from investors.Thirdly,the information disclosure system of listed companies should be further improved,and information disclosure supervision should be strengthened,with strict measures not lenient measures.Fourthly,interconnection policies such as the Shenzhen Hong Kong Stock Connect should be adopted to enrich the investment composition of China’s A-share market by leveraging the investment environment of different stock markets,making the investment and trading structures of the A-share market more diversified. |
PDF Full Text Request