Shanghai-Hong Kong Stock Connect And Analyst Earnings Forecast Accuracy

The "Shanghai-Hong Kong Stock Connect" exchange system is an effective method to promote the operation of China's stock market.This paper takes the implementation of the Shanghai-Hong Kong Stock Connect Policy as the background of natural experimentation,and uses Double Difference Model(DID)to examine the impact of the Shanghai-Hong Kong Stock Connect openness policy on the earnings forecast accuracy of Chinese analysts.The empirical research results show that the implementation of the Shanghai-Hong Kong Stock Connect system has significantly reduced the deviation of analysts' earnings forecasts for Shanghai Stock Exchange-listed companies,and improved the accuracy of their earnings forecasts.In fact,this shows that the Shanghai-Hong Kong Stock Exchange trading system can play a role in promoting the opening up of the Chinese capital market,promoting the quality of information disclosure of Shanghai Stock Exchange companies and alleviating the degree of information asymmetry in the capital market,that is,Shanghai-Hong Kong Stock Connect through forming an external governance to have an impact on the behavior of analysts.Further examination found that the impact of the Shanghai-Hong Kong Stock Connect system on the forecast accuracy of analyst earnings varies with the characteristics of analysts and company characteristics.Specifically,the research is conducted according to the rankings of analysts,the nature of property rights of enterprises and the proportion of shares held by major shareholders.It was found that the higher the analyst's ranking,the lower the proportion of large shareholders' holdings and the more state-owned enterprises,the more obvious the effect of the Shanghai-Hong Kong Stock Connect policy on analyst earnings forecasts under the same conditions.Finally,we performed a robustness test including that the mothod to replace the calculation of key variables and placebo tests.This paper provides new evidence for the causal relationship between the Shanghai-Hong Kong Stock Exchange trading system and the analyst's earnings forecast,which is meaningful for understanding the impact of Shanghai-Hong Kong Stock Connect on behavior of companies and analysts.