| In recent years,frequent financial crises have exposed the fragility of the financial market system,which has aroused the attention of regulators and academic circles to stock price fluctuations.Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect,as attempts to open up the mainland capital market,have attracted much attention from all walks of life on the impact of these two systems on the volatility of A-share price.In this context,it is crucial significance to examine the impact of changes in A shares stock price volatility 、impact paths and the self-selecting mechanism of the Stock Market Liberalization practice in Shanghai(Shenzhen),so as to provide some investment reference for investors in the capital markets of the mainland and Hong Kong.First of all,based on the large sample data from 2009 to 2020,this article uses the staggered DID model to study the direction of the impact of the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect policy on the volatility of A-share stock prices,and on this basis,whether this impact has asymmetric characteristics and deadline differences.Secondly,this article examines the heterogeneous characteristics of the impact of the ShanghaiHong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect policy on the volatility of A-share stock prices from the perspectives of volatility components and underlying characteristics.Subsequently,explore the impact of the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect policy on the extreme volatility of A-share stock prices.Finally,it studies the mediating effect of information mechanism,liquidity mechanism,and illiquidity discount mechanism between Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect and A-share stock price volatility,and uses the Heckman two-stage model to correct self-selection bias.The results of the research show that after being selected as the target of the ShanghaiHong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect,the volatility of the underlying stock price is significantly reduced,and the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect policy can significantly reduce the risk of extreme volatility;when the proportion of "north-bound" capital holdings is low,foreign investors can help the A-share stock price volatility When the proportion of “northbound” capital holdings is higher than 0.9%,foreign investors will significantly restrain the fluctuation of A-share stock price,indicating that foreign investors have an asymmetric effect on the stock price fluctuation of the underlying stock;the land-port link policy affects all fluctuations All components have a significant inhibitory effect;from the perspective of the target characteristics,the ShanghaiHong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect policy has a more significant inhibitory effect on the volatility of the underlying stocks that are only listed on Ashares;the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect policy has a significant announcement effect and acts as a short-term amplifier role;the implementation of the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect policy can significantly reduce the possibility of the recurrence of extreme stock price fluctuations and extend the interval between extreme fluctuations of the A-share stock which are included in the scope of trading;Further mechanism analysis found that the probability of informed transactions,individual stock liquidity and illiquidity discounts all play a part of the intermediary role,while accounting conservatism plays a masking effect.After correcting the self-selection bias,the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect policy can still be significant reduce the volatility of A-share stock prices.Finally,based on the above conclusions,this article puts forward suggestions to the government and regulatory authorities to improve the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect system and prevent abnormal fluctuation risks. |
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