The Impact Of Capital Market Opening On Stock Price Synchronization

In the recent year,with the gradual release of the export dividend of China’s export-oriented economy,and the outbreak of the trade war.China ’s economy has already into a new normal,which from high-speed to high-quality.Promoting high-quality economic development through a higher-level of opening to the outside world,capital account opening.How the opening of capital market affects China’s stock market?This paper intends to analyze it from the perspective of capital market pricing efficiency,hoping to provide a good perspective for investors,listed companies and regulators.It is helpful to help investors understand the price formation mechanism of the capital market more comprehensively,establish a personal investment system and obtain excess returns in the market.It will help listed companies standardize internal governance,strengthen active and passive information disclosure,and improve the quality of information disclosure.It can help regulators effectively supervise foreign investors.Apart from the introduction,this paper is mainly divided into five parts:the second part which defines the following concepts of the paper,and combs the relevant theories of the impact of capital market opening on stock price synchronization from the perspective of efficient market hypothesis,behavioral finance limited attention hypothesis,investor overconfidence and adaptive market hypothesis;The third part which show up the research hypothesis of this paper combined with relevant theories;The fourth part show up the data,proxy variables and the stock price adaptability measurement indicators involved in this empirical research;The fifth part makes analysis of the research hypothesis of this paper by using the PSM-DID model,then makes a robustness test,and further analyzes the factors that may affect the research problems of this paper;The last part which show up the conclusion of the paper,and propose the enlightenment and propose suggestions to general investors,listed companies and regulators.The conclusions of this paper we can get are following:first,after the policy,the synchronization of the underlying stock price of the Shanghai Stock connect is significantly reduced.The main action mechanisms are information mechanism,noise mechanism and adaptability mechanism.Second,this paper adopts a series of robustness test methods,such as changing to full sample,placebo test,changing sample time and so on.The empirical results still support the conclusions in this paper.Third,through further research,it is found that the reduction effect of Shanghai Hong Kong stock connect policy on stock price synchronization is more significant in listed companies and state-owned enterprises with low return on net assets,and the institutional shareholding which has no significant impact on the reduction effect.The conclusion of the paper which shows capital market opening can make the information content of stock price higher,reduce the noise content of stock price,improve the adaptability of stock price,and improve the capital efficiency.The innovations of this paper are as follows:first,previous studies mostly start from the perspective of efficient market hypothesis and believe that stock price synchronization reflects the characteristic information of individual stocks contained in stock price.From the perspective of efficient market hypothesis,behavioral finance and adaptive market hypothesis,this paper discusses the different economic meanings of stock price synchronization,and verifies the mechanism.This paper studies this problem from different theoretical perspectives,hoping to improve the theoretical research on the impact of capital market opening on stock price synchronization.Second,previous scholars were trapped in finding quantifiable proxy variables of the research object under the theory of adaptive market hypothesis.Referring to the idea of early quantitative strategy,this paper constructs quantifiable indicators based on fundamental factors and technical factors to represent the adaptability of stock price and reflect the information and noise content in stock price.Using psm-did model,this paper makes an empirical analysis on stock price synchronization,and obtains a new mechanism of the impact of capital market opening on stock price synchronization.The shortcomings of this paper include:first,due to the limitation of ability,this paper only considers the profit factor in the fundamental factor and the liquidity factor in the technical factor when constructing the adaptability measurement index,ignoring the factors such as valuation,growth,leverage,dividend and fluctuation,which may not reflect the adaptability of stock price comprehensively and accurately;Second,due to the limitations of data availability and computing power,this paper selects monthly data,which may not reflect the dynamic efficiency of the market in time and timeliness.In fact,the construction of adaptability measurement indicators should preferably include various influencing factors and use high-frequency data modeling and analysis.