摘要
A股高股价同步性现象严重弱化了股价对资源配置的引导作用,在当前扩大资本市场开放的背景下,提高股票的定价效率是缓解金融空转、促进实体经济高质量发展的重要前提。本文以2021年第一季度到2023年第二季度沪深A股上市公司为样本,利用“ETF通”机制的启动构建双重差分模型,实证检验了资本市场开放对企业股价同步性的影响。本文发现,ETF纳入互联互通后,标的ETF换手率提高、溢价率和流通份额降低,最终带动了股价同步性的降低。但进一步分析发现,股价同步性的降低并没有显著减少盈余公告后的漂移现象及程度,ETF换手率的增加也未减少当期超额收益率与上期未预期盈余之间的相关性,股价同步性的降低较少反映当期和未来的盈余信息,更可能是由于噪音引起。基于上述研究,在继续稳步扩大资本市场开放力度的同时,如何更好地加强市场监管、完善资本市场信息渠道建设并以此引导投资者理性交易,这也是监管者需要重点考虑的问题。
The high synchronicity phenomenon of stock prices on the A-share market has seriously weakened the guiding role of stock prices in resource allocation.Against the background of the opening up of the capital market,improving the pricing efficiency of stocks is a prerequisite for alleviating financial idling and promoting high-quality development of the real economy.Taking the A-shares of listed companies in Shanghai and Shenzhen from the first quarter of 2021 to the second quarter of 2023 as samples,this paper uses the"ETF Connect"mechanism to build a DID model and empirically test the impact of the capital market opening on stock price synchronicity.This paper finds that after ETFs were included in the stock exchange,the turnover rate of the underlying ETF increased,while the premium rate and the circulation share decreased.Ultimately,this drove the reduction in stock price synchronicity.However,further analysis finds that the decrease in stock price synchronicity did not significantly reduce the phenomenon and degree of drift after earnings announcements,and the increase in ETF turnover rate also did not reduce the correlation between current excess returns rate and unexpected earnings in last period.And the decrease in stock price synchronicity less reflected current and future earnings information,which was more likely caused by noise.Based on the above research,the paper concludes that as the opening of the capital market continues,regulators will need to consider how to better strengthen market supervision,improve the construction of information channels in the capital market,and guide investors to trade rationally.
作者
王春
袁晓婷
丁林甜
WANG Chun;YUAN Xiaoting;DING Lintian(School of Finance,Nanjing Auclit University)
出处
《金融市场研究》
2024年第1期55-70,共16页
Financial Market Research
基金
2023年江苏省研究生实践创新计划“资本市场对外开放对股价同步性的影响”(SJCX23_0974)。
