| Shenzhen-Hong Kong Stock Connect program was launched on December 5th,2016.Compared with Shanghai-Hong Kong connect program,stocks available for trading are more diverse under Shenzhen-Hong Kong program.Besides,the maximum limit to the total amount which can be invested in Shenzhen connect securities and Hong Kong Securities are cancelled.All of these measures have increased foreign investors' passion for the mainland market.Because of the diversity of Shenzhen connect securities and foreign investors' preference for stocks with better fundamental factors,the trend of corporate value's change between different company groups is different.This paper defines SZ connect securities as treatment group and securities which are not available for trading under connect program as control group.Results from the DID analysis show in the total sample,corporate value has decreased since the Shenzhen-Hong Kong connect program was launched.But in the subsample where companies with better financial ratios,corporate value has increased significantly.But for companies with unsatisfied financial ratios,corporate value has decreased.All results indicate the Shenzhen-Hong Kong connect program improves mainland market's corporate value discovery function.Besides,the analysis of cumulative abnormal return around this connect program shows the market reaction from the short-term perspective.Shenzhen-Hong Kong connect program is a significant step in the development of our capital market,which makes the valuation of A shares more rational and promotes the internationalization of valuing A shares.With more diversified stocks being added to the list of connect securities and the cancellation of total trading amount,more northbound capital is invested in the mainland market.The conclusion that the influence of Shenzhen-Hong Kong connect program on corporate value is different based on company fundamentals is meaningful since it demonstrates this program's price discovery function. |
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