| China has been insisting on the gradual opening of the capital market since reform and opening up.In recent years,the pace of capital market opening has been accelerating.From the implementation of the Qualified Foreign Institutional Investor(QFII)system by the China Securities Regulatory Commission in 2002 to the successive opening of QDII and RQFII,the “Shanghai-Hong Kong Stock Connect”and “Shenzhen-Hong Kong Stock Connect”,which were successively opened in 2014 and 2016,and A shares in 2017 were included in MSCI Wait,the breadth and depth of China’s capital market opening up continues to increase.Due to the late start of China’s capital market,inadequate mechanisms,asymmetric information,and a large number of retail investors,the mainland capital market is still in a weak and effective market state,and pricing efficiency has also been at a low level.The impact of foreign capital on the pricing efficiency of the mainland capital market under capital liberalization mainly affects price changes through the trading of stocks through open market transactions,or governs the company by holding shares to improve the company’s operating efficiency.Specifically,this article first elaborates on the research background and significance of the research,and explains the impact of a series of open policies represented by the "Shanghai-Hong Kong Stock Connect" on the capital market from the perspective of the current state of China’s capital market and the purpose and role of opening up.The three perspectives of microeconomics sort out and summarize the impact of previous scholars at home and abroad on the opening of a country’s capital.Secondly,it summarizes the process and current situation of China’s capital market opening up to the outside and inside since 1990,and then introduces the operating rules of the Shanghai-Hong Kong Stock Connect and the operating conditions since the opening.Thirdly,make a theoretical review and derivation of the effect mechanism of changes in the effective market,herd effect,and pricing efficiency,and then analyze the control variables that may affect the choice of foreign investment and conduct group experiments to explore the changes that occurred before and after the Shanghai-Hong Kong Stock Connect.It can be summarized as the following four questions: 1.Whether the A-share market has reached a weak and effective state;2.Whether the "herd effect" exists or changes;3,whether the pricing efficiency has been improved;4,the control variable is divided into high and low groups to study whether the pricing efficiency has changed.Empirical research shows that China’s A-share market has been in a weak and effective state for a long time,and the "herd effect" has always existed,and the "herd effect" has significantly increased after the "Shanghai-Hong Kong Stock Connect",indicating that foreign capital has played a role in the "Shanghai-Hong Kong Stock Connect" The role of "leader".After the opening of Shanghai-Hong Kong Stock Connect,it has a significant positive effect on the improvement of pricing efficiency of individual stocks,and promotes the improvement of pricing efficiency.From the perspective of subdivision,the changes in the three control variable indicators of market capitalization,price-earnings ratio and turnover ratio before and after the "Shanghai-Hong Kong Stock Connect" also reflect to a certain extent the investment preference of foreign investment will bring stock pricing efficiency with certain characteristics.Of improvement.Finally,in the summary of the full text and policy recommendations,two directions are proposed to speed up the improvement of the A-share market system and continue to increase the opening process of the capital market.The detailed recommendations are: 1.Increase the trading time of stocks on the mainland market,Coincidence of transaction time.2.Cancel the T + 1 trading system and 10% daily limit.3.Allow short selling mechanism and use margin system for leveraged trading. |
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