资本市场对外开放与股价异质性波动——来自“沪港通”的经验证据

被引：222

作者：

钟凯 ^{[1
]}

孙昌玲 ^{[2
]}

王永妍 ^{[2
]}

王化成 ^{[2
]}

机构：

[1] 对外经济贸易大学国际商学院

[2] 中国人民大学商学院

来源：

金融研究 | 2018年 / 07期

基金：

中国博士后科学基金;

关键词：

“沪港通”; 股价异质性波动; 资本市场对外开放;

D O I：

暂无

中图分类号：

F275 [企业财务管理]; F832.51 [];

学科分类号：

1202 ; 120202 ; 1201 ; 020204 ;

摘要：

本文基于"沪港通"这一外生政策,探讨了资本市场对外开放对股价异质性波动的影响机理。研究发现:"沪港通"实施能够降低"沪股通"标的股票股价的异质性波动,且在"沪股通"活跃成交股样本中更为明显;深入研究发现"沪港通"通过促使企业提高信息披露质量,从而降低股价异质性波动。本文研究表明"沪港通"实施对于维护我国资本市场稳定健康发展具有重要作用,亦为后续资本市场对外开放政策提供了一定的经验借鉴。

引用

页码：174 / 192

页数：19

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