【作者】 王鑫鑫；

【导师】 余星；

【作者基本信息】 华中师范大学 ， 金融学， 2022， 硕士

【副题名】基于“沪深港通”的经验证据

【摘要】 作为我国实行全方位开放战略、建设开放型经济的重要组成部分,资本市场开放经历了一个循序渐进的过程。同时,伴随着我国资本市场的快速发展和成熟程度的提高,扩大开放已然是无可避免的趋势。从1992年2月建立B股市场到2019年6月建立“沪伦通”制度,中间历经多次改革,资本市场开放格局不断扩大,开放程度不断加深,开放效应也逐渐显现。其中尤其重要的一步是“沪深港通”制度的建立首次实现了我国资本市场的双向开放,建立起互联互通机制。以此为契机,本文利用双重差分模型,以“沪深港通”为研究对象,实证检验了资本市场开放对企业投资规模的影响,并进一步挖掘了背后的作用机制以及影响我国资本市场开放的因素。本文分别采用沪市2010年到2020年(对应“沪港通”)和深市2012年到2020年(对应“深港通”)的全部上市公司作为样本,并剔除了金融股、ST、ST*的股票和成为开放标的然后又被取消的股票等样本。具体来讲,本文以表示“沪深港通”开放的双重差分算子作为核心解释变量,以企业投资规模为被解释变量,并在回归方程中纳入了表示公司规模、流动性、成长性和经济基本面的诸多变量作为控制变量,同时控制了双向固定效应,研究“沪深港通”的实施对于上市企业投资规模的影响。研究结果表明:“沪港通”实施初期没有增加标的企业的投资,但“深港通”实施之后较为迅速地产生了增加标的企业投资的效果,增幅为0.46个百分点,相当于样本均值的10.95%,造成这一差异的原因在于,“沪港通”实施期间面临的严重市场波动阻碍了外部投资者的进入。为了增强结果的可信度,本文通过平行趋势检验、倾向得分匹配、考虑同期经济改革以及考虑开放时间安排和反向因果进行了一系列稳健性检验,发现回归结果基本一致。进一步研究发现,“深港通”主要通过降低标的企业的融资约束促进了企业投资,虽然“深港通”降低了标的企业的股权资本成本,但我国以间接融资为主的融资结构使得股权资本成本的降低无法真正作用到企业的投资活动上。同时,“深港通”的政策效果在规模较小、治理水平较低的企业样本中更加明显。此外,延长时间窗口的观察结果表明,在市场恢复平稳后,“沪港通”逐渐产生了增加企业投资的政策效果,从反面印证了本文的核心观点。基于上述研究结果,本文针对如何破解资本市场开放的隐性障碍,维护资本市场稳定和优化融资结构提出了相应的建议,对资本市场开放的相关研究做了重要补充。更多还原

【Abstract】 As the important component of strategy of all-dimensional opening up and constructing an open economy,the openness of capital market has gone through a gradual process.At the same time,with the development and maturity of our capital market,expanding openness has been an inevitable trend.From constructing B stock market in February 1992 to building Shanghai-London Stock Connect in June 2019.a lot of reforms have been accomplished,the pattern of opening up improves and the degree of opening up lifted,so the effect of opening up became more and more obvious.The crucially important step is setting up Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connects who accomplished the two-way openness of capital market for the first time and established the interconnection mechanism.As an opportunity,this paper uses DID model and adopt Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connects as research object to investigate the effect from openness of capital market to corporate investment scale empirically and find the mechanism of action behind as well as the factors who influence openness of capital market.In this paper,all listed companies in Shanghai stock Exchange from 2010 to 2020(corresponding to shanghai-Hong Kong Stock Connect)and Shenzhen Stock Exchange from 2012 to 2020(corresponding to Shenzhen-Hong Kong Stock Connect)are taken as samples,weeding out financial stocks,stocks with ST or ST*logo and stocks which become openness objects and then cancelled.To be specific,this paper sets up policy dummy variable as the core explanatory variable,uses investment scale of enterprises as the explained variable,incorporates the size,liquidity,growth of companies and economic fundamentals into the regression equation as the control variables,and controls the two-way fixed effect to investigate the effect of implementation of Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connects on investment scale of companies.Research results imply that,Shenzhen-Hong Kong Stock Connect attains policy effect in a timely manner after implementation,increases the investment of underlying firms remarkably by 0.46 percent,or 10.95 percent of sample mean,but Shanghai-Hong Kong Connect doesn’t in the early days of policy implementation.The reason for this difference lies in the massive market volatility,which prevent external investors entering,during the period of Shanghai-Hong Kong Connect implementing.In order to enhance the credibility of the results,this paper performs a series of robustness tests including parallel trend test,propensity score matching,considering contemporaneous economic reforms,and considering the time arrangement of openness as well as reverse causality,finding that regression results are consistent.Further investigations tell us,Shenzhen-Hong Kong Stock Connect facilitates corporate investment mainly through reducing the financing constraints of underlying firms.Although the equity capital cost has been decreased by Shenzhen-Hong Kong Stock Connect,the financing structure dominant by indirect financing makes it crucially difficult for the reduction of equity capital cost to cause practical effect on investment activities of corporation.At the same time,the effect of policy is bigger in companies with smaller size and worse corporate governance.In addition,observed results from extended time windows illustrates,Shanghai-Hong Kong Stock Connect increases the investment scale of listed companies gradually after stock market becoming stable,which supports the core opinions of this paper in the opposite direction.Based on the aforementioned results,this paper proposes corresponding suggestions for maintaining market stability and optimizing financing structure,and provides important supplements for related research about openness of capital markets.更多还原