资本市场开放与股权资本成本——基于沪港通、深港通的实证研究

本文基于沪港通和深港通研究资本市场开放对中国内地股权资本成本的影响。研究发现,受政策风险和市场环境等因素所限,沪港通在初始阶段并未对沪市公司的股权资本成本产生显著影响,但随着政策进一步完善、市场逐渐稳定和交易不断活跃,其对股权资本成本的降低效果于实施两年后开始显现;深港通建立在沪港通的制度基础和运行经验上,其在开通后显著降低了标的公司的股权资本成本。本文还进一步分析了资本市场开放影响股权资本成本的竞争渠道和信息渠道,发现深港通对股权资本成本的降低作用主要集中在投资者竞争程度较高,或是公开信息质量较高、信息不对称程度较低的股票样本。

Capital Market Liberalization and the Cost of Equity: Empirical Evidence from the Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connect Programs

To improve china the connections between the capital markets of mainland China and Hong Kong China, the Shanghai-Hong Kong Stock Connect (SH-HKSC) was launched in November 2014 and the Shenzhen-Hong Kong Stock Connect (SZ-HKSC) in December 2016, enabling investors in the mainland and Hong Kong to mutually trade eligible stocks. SH-HKSC and SZ-HKSC attract much attention from investors and scholars. Their effects on spillovers, market risks, the A-H share premium, pricing efficiency, and corporate behavior are investigated. However, few studies examine the impact of SH-HKSC and SZ-HKSC on the cost of equity, which is the focus of this paper. Traditional wisdom suggests that stock market liberalization may reduce the cost of equity in the domestic market because of risk-sharing or increased liquidity. However, this does not consider the impact of information heterogeneity among domestic and foreign investors, which may restrict the application of such liberalization in China. Compared with more developed capital markets, the mainland market has a larger proportion of retail investors, while the Hong Kong market is dominated by institutional investors. Research shows that institutional investors in Hong Kong have information advantages over retail investors in mainland (Chen and Huang, 2019; Lian et al., 2019; Zhong et al., 2018; Zhong and Lu, 2018). Thus, an influx of Hong Kong institutional investors will dramatically change the information structure and intensify the competition between informed and uninformed investors in the mainland market. We draw on these observations to examine the effects of SH-HKSC and SZ-HKSC on the cost of equity, and divide them into a “competition channel” and an “information channel”. The competition channel can reduce the cost of equity in three ways. First, in terms of risk sharing, the potential for diversification will stimulate foreign investors to purchase domestic stocks and reduce the cost of equity. Second, increased capital inflows can increase market liquidity and reduce the liquidity premium. Finally, an increase in competition can enhance price informativeness and reduce the risk of information asymmetry. The information channel can have two opposite effects on the cost of equity. The informed trading of Hong Kong investors helps to transfer private information to the stock price, which on average increases the precision of information possessed by investors and reduces the cost of equity. However, the increased information asymmetry caused by the influx of informed traders may also increase the cost of equity. The degree of this effect depends on the level of investor competition. To empirically test the overall effects of SH-HKSC and SZ-HKSC on the cost of equity, we use residual income models (GLS, CT, OJ, PEG, and MPEG models) to estimate the cost of equity and conduct a difference-in-differences analysis. We find that due to policy risks and the unstable market environment, SH-HKSC has no significant reduction effect on the cost of equity until the second year after its implementation. SZ-HKSC, which draws on the operating experience of SH-HKSC, demonstrates an immediate, strong, and significant reduction effect on the cost of equity. We further analyze subsamples and find evidence of the competition and information channels. We find that SZ-HKSC significantly reduces the cost of equity of stocks with a relatively high degree of investor competition or with relatively high quality public information, but for those with less competition or higher information asymmetry, the cost is not affected. This study makes three main contributions to the literature. First, it fills a research gap by examining how SH-HKSC and SZ-HKSC affect the cost of equity in the mainland market. Second, it extends research on capital market liberalization by systematically analyzing its effects on the cost of equity through the two channels of competition and information. Third, the empirical results provide new evidence of the theoretical relationship between information asymmetry and the cost of equity in markets with imperfect competition.