| For a long time,the stock price in mainland stock market of A + H shares companies is significantly higher than that of Hongkong,which is called the phenomenon of AH share premium in academic circles.Due to the objective existence of market segmentation between the two markets,the phenomenon of AH share premium is reasonable.But for a long time,the average premium level of A shares has exceeded 20%,and even reached 100% in extreme times.The premium rate of this level has significantly exceeded the reasonable level.Therefore,there is a certain unreasonable part in the premium rate of AH shares.An excessively high premium rate will distort the market mechanism and damage to the efficiency of the capital market.To explore the reasons for the formation of the AH share premium and how to reduce the unreasonable component of the AH share premium rate has become a hot issue in the academic circles.In order to reduce the unreasonable part of the AH share premium rate,the regulatory authorities have taken many measures to weaken the impact of market segmentation.On November 17,2014,the Shanghai-Hong Kong Stock Connect was officially opened.After two years of smooth operation of the Shanghai-Hong Kong Stock Connect,on December 5,2016,the Shenzhen-Hong Kong Stock Connect was officially launched.The successful operation of the Shanghai-Hong Kong Stock Connect and the Shenzhen-Hong Kong Stock Connect has brought incremental capital to the Hong Kong market and the mainland market,and has also changed the market structure of the two places to a certain extent.In this context,in order to study the specific impact of the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect on the AH share premium rate,this article based on the four hypotheses of the traditional market segmentation theory,combined with the specific operation mechanism of Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect,theoretically analyzed The possible impact of interconnection is discussed,and the following hypotheses are proposed: Hypothesis 1,the opening of Shanghai-Hong Kong Stock Connect leads to a reduction in the premium rate of AH shares listed in both Shanghai and Hong Kong;Hypothesis 2,the opening of Shenzhen-Hong Kong Stock Connect The premium rate of AH shares of AH companies listed in the two places has shrunk,and the effect of this policy is more significant than that of Shanghai-Hong Kong Stock Connect.Hypothesis 4,the stock market interconnection mechanism affects financial enterprises and non-financial enterprises differently,and the effect on financial enterprises is more significant.Based on the constructed panel data empirical model,this article uses the daily data of 64 Shanghai-Hong Kong cross-listed companies from November 17,2012 to December 31,2019 and 14 Shenzhen-Hong Kong cross-listed companies on December 5,2014 The daily panel data as of December 31,2019 tested the specific impact of the interconnection mechanism on the AH share premium rate,and concluded the following: First,Shanghai-Hong Kong Stock Connect reduced the AH share premium rate in the short term,but In the medium and long term,it has the opposite effect;second,the opening of Shenzhen-Hong Kong Stock Connect effectively reduces the AH share premium rate,and the impact is consistent in different periods;third,the impact of the interconnection mechanism on financial companies and non-financial companies is not significant difference.Combining the conclusions,we put forward corresponding suggestions to the regulatory agencies with a view to better optimizing the interconnection mechanism and improving the efficiency of the capital market: continue to optimize the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect mechanisms to achieve a deeper level of interconnection;expand the scope of interconnection pilots and speed up the opening of capital market;focusing on deepening the reform of the mainland's capital market;strengthening investor education;enhancing risk prevention awareness,etc.Compared with the existing research,the innovation of this article lies in: First,this article has made innovations in the analytical framework.It integrates the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect in a unified framework for analysis and research,which fills the previous Shenzhen-Hong Kong Stock Connect.The lack of research on the impact of the AH share premium rate provides a possibility to compare the impact of the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect policies.Second,this article is more reasonable in the selection of interconnection policy variables than previous studies.This article uses the daily trading volume of northbound funds or southbound funds after the opening of the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect as policy substitution variables,so as to better measure the continuous policy effect of the interconnection mechanism;third,this article is based on the length of time the interconnection mechanism is opened All samples were divided into three parts: short-term,medium-term and long-term,and the impact of the interconnection mechanism at different time stages was studied. |
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