沪港通的绩效增长与反向选择效应——兼论实现高质量增长的资本市场改革路径

本文从金融服务实体企业角度探讨了沪港通对“成分股”绩效增长是否存在激励效应和治理效应,以及沪港通的成分股“选择机制”是否存在“反向选择效应”,并综合运用线性调整、逆概率加权、内生处理效应、异质性处理效应等估计方法,得出如下结论:(1)“沪港通”政策的实施有助于提升成分股企业的绩效水平;(2)沪港通持股水平高更有助于提升企业绩效水平,表明沪港通持股存在治理效应;(3)政策实施过程存在潜在的福利损失——那些在“沪港通”中受益水平较低的企业更大概率地被选入成分股,从而降低了开放政策所能达到的最优福利水平。这表明以“试点”方式进行资本市场开放,会产生因“反向选择”而导致的福利损失。因此,需要加强改革的“强度”和“广度”,适时提升“沪港通”交易份额,并扩大沪港通成分股范围,以提高微观企业增长水平及增长质量。

Performance Incentive and Negative Selection of SH-HK Stock Connect——Relation Between High-quality Growth and Capital Market Reform Path

We examine whether Shanghai-HK Connect has growth effect and governance effect on the operating performance of constituent stocks and whether“negative selection”exists in it.Using a series of methods,such as the regression adjustment method,inverse-probability-weighted method,endogenous treatment regression method and heterogeneous treatment effect,we find that:(1)Shanghai-HK Connect spurs the growth of operating performance of constituent-stock firms;(2)Shareholding from Shanghai-HK Connect spurs corporate performance,which proves the existence of the governance effect;(3)Potential loss of benefits also exists.Firms that are less likely to benefit from the policy are more likely to be included in the constituent stock basket and as a result,potential benefit from Shanghai-HK Connect is ruined.In other words,the“mechanism”of stocks being selected into constituent stock basket of capital market liberalization policy leads to benefit loss caused by“negative selection”.Finally,we give suggestions on the reform of capital market liberalization in two dimensions.We propose that limitation of trading amount should be loosened and more stocks should be included in the constituent stock basket at proper time,so as to improve the level and quality of corporate growth.