| Since the 1980s,with the further cancellation of global cross-border transaction restriction,the Chinese government has gradually accelerated the pace of capital market opening to the outside world.The successive introduction of QFII,rqfii and QDII trading systems broadened the investment channels of domestic and foreign investors,and also depicted the process of opening up China's capital market.In particular,on November 17th,2014,the formal launch of the Shanghai-Hong Kong stock market trading interconnection mechanism pilot(hereinafter referred to as the"Shanghai-Hong Kong stock connect trading system")established a convenient connection channel between the Shanghai A-share market and the Hong Kong stock market,marking the first time that China's capital market truly realizes two-way orderly flow of funds,which is a landmark measure for the opening up of the A-share capital market.As a key link in the process of capital market opening to the outside world,the implementation of the Shanghai-Hong Kong stock exchange trading system not only attracts great attention from investors and regulators,but also is a topic of great concern to the theoretical and academic circles.According to Shannon's information theory,the process of information transmission in the capital market is:information issuer(management or secretary,etc.)sends out information,information media(analysts,auditors or news media,etc.)analyzes and interprets the information,and finally transmits it to external information users(investors or regulators,etc.).The implementation of the Shanghai-Hong Kong stock connect trading system,on the one hand,through the introduction of foreign investors with advanced investment concepts,the use of "voting by hand" or "voting by foot" and other means to supervise the listed companies,forces the reform of the capital market system in the mainland,improves the internal governance structure of domestic listed companies,and affects the information release behavior of the management;on the other hand,it will also improve analysis The degree of concem of external information intermediary,and affect its prediction behavior,Finally,these information will be reflected in the stock price information content of listed companies,thus affecting the overall resource allocation efficiency of the capital market.Along with this idea,this paper uses norrmative analysis,deductive reasoning and empirical analysis to examine the information governance effect of Shanghai-Hong Kong stock connect trading system from the perspective of management,analysts and stock price information content,and further explore the impact mechanism behind it.It not only enriches the relevant literature of Shanghai-Hong Kong stock connect trading system,management,analysts,stock price information content,but also has important theoretical and practical significance.In order to better understand and grasp the information governance effect of Shanghai-Hong Kong stock exchange trading system,this paper first introduces the research background and significance,research objectives and methods,research content and research framework;secondly,it introduces the institutional background,theoretical basis and relevant literature of capital market opening to the outside world;thirdly,it focuses on the management of Shanghai-Hong Kong stock exchange trading system from the research theme of this paper Based on the empirical test of the impact of management performance forecast,the impact of management on analysts'behavior and the impact of management on the information content of stock price,this paper summarizes the research conclusions and puts forward relevant policy implications.The main contents and conclusions of this paper are as follows:First,this paper selects 2012-2016 Shanghai and Shenzhen A-share listed companies as the initial research sample,with reference to Li Zhigheng et al.(2017)and Zhang Rao et al.(2017)to measure the quality of management performance.forecast,and uses the double difference method(DID)to empirically investigate the impact of the Shanghai-Hong Kong Stock Exchange Trading System on the management performance forecast of the listed companies.The results show that:(1)the implementation of the Shanghai-Hong Kong stock connect trading system is conducive to inhibiting the self-interest behavior of the management,and can significantly improve the quality of the performance forecast of the management of the listed companies.(2)The implementation of the trading system of Shanghai-Hong Kong stock connect mainly improves the quality of management performance forecast of the listed companies of Shanghai Stock connect by introducing more overseas institutional investors with advanced investment ideas and improving the ability of managers.(3)The results show that the implementation of the Shanghai-Hong Kong stock connect trading system can significantly improve the quality of the management performance forecast of the listed companies,and the impact of market competition on the listed companies is not obvious.In addition,this paper also uses the method of propensity score matching(PSM)to control the possible self selection problems,and uses the methods of placebo test and replacement of measurement indicators to test the robustness.It is found that the research conclusion is still unchanged which proves that the trading system of Shanghai-Hong Kong Stock Exchange has the effect of internal information governance.Second,this paper selects 2012-2016 Shanghai and Shenzhen A-share listed companies as the initial research sample,and uses Xu Nianxing's(2012)method to measure analysts' optimism bias,and uses the double difference method(DID)to investigate the impact of the Shanghni Hong Kong Stock Exchange Trading System on analysts' attention and analysts' optimism bias.The results show that:(1)the implementation of Shanghai-Hong Kong stock connect trading system significantly improves the analysts' attention of the listed companies,but also significantly improves the analysts' optimism bias.(2)based on the perspective of commission pressure from institutional investors this paper discusses the mechanism of the trading system of Shanghai-Hong Kong stock connect influencing analysts' optimistic bias.(3)The results show that the trading system of Shanghai-Hong Kong stock connect,which is audited by the four major international listed companies,promotes analysts' optimistic bias to a certain extent In addition.this paper also uses the propensity score matching mexthod(PSM)to control the possible self selection problems,and conducts the robustness test by means of placebo test,replacement measurement index and other methods,and finds that the research conclusion of this paper is still valid,which proves to some extent that the implementation of Shanghai-Hong Kong stock exchange trading system has the effect of external information governance.Third,this paper selects 2012-2016 Shanghai and Shenzhen A-share listed companies as the initial research sample,and uses Bai et al.(2016)?kacperczyk et al.(2018)and Liu Beibei(2018)to measure the stock price information content of listed companies,and uses the double difference method(DID)to empirically investigate the impact of the trading system of Shanghai-Hong Kong stock connect on the stock price information content of listed companies.The results show that:(1)there is information content in the stock price of the underlying stock of the Shanghai Stock connect;the implementation of the trading system of the Shanghai Stock connect not only significantly improves the short-term(one year)stock price information content of the listed companies of the Shanghai Stock connect,but also siguificantly improves the longer-term(two and three years)stock price information content of the listed companies of the Shanghai Stock comect,indicating the impact of the trading system of the Shanghai Stock connect on the stock price information content It has certain continuity.(2)The implementation of the Shanghai-Hong Kong stock connect trading system mainly improves the quality of the management's performance forecast and reduces the analysts' optimism bias to increase the stock price information content of the listed companies of the Shanghai Stock connect.(3)The results show that in the listed companies with low information transparency and high stock liquidity,the implementation of the Shanghai-Hang Kong stock exchange trading system can significantly improve the information content of the stock price of the listed companies.In addition,this paper also uses the method of propensity score matching(PSM)to control the possible self selection problems,and uses the methods of placebo test,replacement of measurement indicators to test the robustness.The research conclusion of this paper is still valid.The conclusion of this paper shows that the implemenation of the trading system of Shanghai Hong Kong stock connect can effectively improve the information governance environment of the company,and proves that the trading system of Shanghai-Hong Kong stock connect does have the information governance effect.On the basis of the above research,this paper holds that we should not only adhere to the principle of prudent and controllable capital market opening to the outside world,but also continue to increase the strength of capital market opening to the outside world,and take this opportunity to accelerate the reform of domestic capital market system,optimize the structure of mainland investors,and strengthen international cooperation.At the same time,listed companies should also seize the opportunity to standardize and improve the information disclosure system;in view of the optimistic and biased behavion of analysts,we should strengthen the cultivation of information intermediary market and improve the objective and independent professional quality of analysts themselves.Therefore,the regulatory authorities should not only strive to improve the supervision level of capital market and the protection level of overseas investors,but also establish a supervision mechanism for the quality of management information disclosure,and strengthen the guidance,supervision and cultivation of analysts.In a word,government deportments,management,analysts,investors and regulators all play their roles,thus contributing to the healthy and stable development of China's capital market.The possible innovations of this paper are as follows:First,following Shannon's idea of information theory,this paper studies the information content of management,analysts and the overall stock price of the market,and discusses the internal information governance effect,external informadon governance effect and the overall information governance effect of the Shanghai-Hong Kong stock connect trading system,which not only forms a relatively complete "management analyst capital market information" Logical chain,and progressive layer by layer,reveals the influence mechanism behind it.Second,this paper studies the influence of Shanghai Hong Kong stock connect trading system on management performance forecast analysts' attention,analysts'optimism deviation and the information content of stock price of Listed Companies in turn.This paper not only enriches the relevant content of the open trading system of capital market,but also provides incremental information for management information disclosure,analysts' prediction and information content of stock price.Third,with the help of "Shanghai-Hong Kong stock connect" to open this quasi natural experimental platform,this paper uses PSM +D1D model to test the information governance effect of capital market opening to the outside world,which can effectively alleviate the endogenous problems faced by the previous research field,improve the robustness of the conclusions of this paper,and provide some experience for the research of other capital market opening to the outside world trading system in the future. |
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