摘要
沪港通交易机制的开通是中国资本市场对外开放进程中的一项重要战略举措。基于沪股通标的股票资金交易的活跃程度,构造了一个包括实验组和控制组在内的自然实验环境,运用双重差分模型(Di D)研究了沪港通政策对上证A股价格波动性的影响。研究结果表明,在沪港通政策实施初期,沪股通交易机制未能起到降低标的股票价格波动性的作用,甚至在个别样本检验区间内扮演起"追涨杀跌"的负面角色,加剧了标的股票价格的波动性;但随着沪港通政策的深入推进和沪股通资金的持续流入,沪股通交易机制开始发挥其价格稳定效应,显著降低了标的股票价格的波动性水平。
SH-HK Stock Connect Program is an important strategy of Chinag opening -up its capital market. Based on the trading amount of SH-HK Stock Connect underlying stocks ,we employ natural experiment with experimental group and control group and then use the double-difference-model （DiD） to examine the effects of SH-HK Stock Connect on price volatility in Shanghai A -share market. The research results show that at the initial stage, SH- HK Stock Connect Program fails to exert effect on reducing underlying stocks＂ price volatility, and even plays a negative role in some sample inspection intervals, which aggravating the underlying stocks＂ price volatility;While with the further execution SH-HK Stock Connect Program and the continued inflows of capital, SH-HK Stock Connect mechanism begins to play its role in stabilizing price and then reduces the volatility level of under- lying stocks＇prices significantly.
作者
许从宝
刘晓星
石广平
Xu Congbao Liu Xiaoxing Shi Guangping(School of Economics and Management, Southeast University, Nanjing 211189, China)
出处
《金融经济学研究》
CSSCI
北大核心
2016年第6期28-39,共12页
Financial Economics Research
基金
国家自然科学基金项目(71473036
71273048)
关键词
沪港通
价格波动性
双重差分模型
SH -HK Stock Connect Program
price volatility
DiD model
