| Following mechanism of qualified foreign institutional investors(QFII),the mechanism of qualified domestic institutional investor(QDII),inter-bank bond market open to certain overseas institutions,the mechanism of qualified RMB foreign investors(RQFII),Shanghai-Hong Kong stock connect program run smoothly after more than 7 months of lead time,marking the Shanghai stock exchange and the stock exchange of Hong Kong has entered a state of connectivity,it is of great significance to the internationalization of China's securities market.Based on the subject natural experiment research situation--the reform of the Shanghai-Hong Kong stock connect mechanism,which was implemented on November 17,2014,this paper investigates Shanghai-Hong Kong stock connect program's influence on stock price crash risk using the double difference research model.The research results indicate that the Shanghai a-share stock price crash risk overall not changed significantly after the implementation of Shanghai-Hong Kong stock connect program,but compared tothe stock out of Shanghai-Hong Kong stock connect program list,the stock crash risk of the shares of Shanghai-Hong Kong stock connect program list increased significantly.Then,from the perspective of the heterogeneity of institutional investors,this paper conducted the channel test,and found that the reform of the stock connect mechanism improved the activity of institutional investors,thereby weakening the supervision role of the listed companies,resulting in the increase of the risk level of the stock price crash of the shares of Shanghai-Hong Kong stock connect program list.In addition,this paper analyzes the cross-sectional differences from the heterogeneity of institutional investors,margin financing and audit quality.The results show that the impact of the reform of the stock connect mechanism on the risk of stock price crash is mainly in the listed companies which with transactional institutional investors,the listed companies that have the financing margin business,and listed companies with poor audit quality.The research conclusion of this article means that Shanghai-Hong Kong stock connect program need to be further perfect,to stimulate the strategic role of institutional investors,thereby helping to improve the market value of listed companies,rather than to promote institutional investors to speculators.And based on the mechanism of China's margin is not fully mature,whether to allow the shares of Shanghai-Hong Kong stock connect program list on margin trading has yet to be.In addition,stock exchanges and other regulators should strengthen supervision over the timeliness and effectiveness of the information disclosure of listed companies to protect the legitimate rights and interests of investors. |
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