股市自由化对资本市场的影响:中国内地与香港股票联通计划的证据

Renhui Fu, Fang Gao, Yi Zhao
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摘要

在 "内地与香港股票联通计划 "允许外国投资者在中国股票市场进行交易的准自然实验环境中,我们分析了股票市场自由化对资本市场的影响。通过差分估计,我们观察到股票流动性在直接提供流动性和向国内投资者发出间接信号的推动下得到改善。尤其值得注意的是,这对以前没有接触过外国投资者的合格股票产生了影响,这些股票的特点是公司透明度高,投资者受到保护。由此带来的流动性增强降低了股票成本,最终提升了公司价值。简而言之,我们的研究强调了股市自由化对资本市场的积极影响。
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The capital market consequences of stock market liberalisation: Evidence from Mainland‐Hong Kong Stock Connect Programs in China
We analyse the capital market consequences of stock market liberalisation in a quasi‐natural experiment setting, where Mainland‐Hong Kong Stock Connect Programs allow foreign investors to trade in the Chinese stock market. Utilising difference‐in‐differences estimations, we observe improved stock liquidity, driven by direct liquidity provision and indirect signals to domestic investors. Particularly notable are the effects on eligible stocks without previous exposure to foreign investors, characterised by high corporate transparency and investor protection. The resulting liquidity enhancements reduce equity costs, ultimately elevating firm value. In short, our study highlights the positive influence of stock market liberalisation on the capital market.
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