股票市场开放与企业投资效率——基于“沪港通”的准自然实验

资本市场的持续对外开放是党的十九大强调的重要举措。本文基于沪港通开通这一准自然实验,检验了股票市场开放对企业投资效率的影响。结果发现:沪港通的开启促进了标的公司投资效率的提高,这一影响主要体现在信息环境不透明、治理水平低的公司;机制分析发现,沪港通开启后,公司信息质量的提高和分析师预测准确度的增加是股票市场开放影响标的公司投资效率的重要渠道;最终标的公司在沪港通开通后经营业绩也得到提升。本文结论表明,股票市场开放改善了公司的投资效率,提高了对实体经济的服务能力,这对党的十九大提出的“深化资本市场对外开放”和“金融服务实体经济”系列改革有重要启示。

Stock Market Liberalization and Corporate Investment Efficiency: Evidence from Shanghai-Hong Kong Stock Connect

Since joining the WTO, the Chinese government has been committed to opening up the capital market. As a result of the government's efforts, various reforms of the A-share market have been carried out, such as the Shanghai-Hong Kong Stock Connect in 2014, the Shenzhen-Hong Kong Stock Connect in 2016, the Bond Connect in 2017, and the inclusion of A-shares in MSCI in 2018. Among these policies, the Shanghai-Hong Kong Stock Connect, a stock market interconnection mechanism program, has attracted the greatest attention from investors. However, few studies have examined the impact of the Chinese A-share market liberalization, especially its economic consequences. Previous studies of stock market liberalization and foreign ownership have focused on stock price volatility (Chen et al., 2013; Zhong and Lu, 2018; Zhong et al., 2018), dividend policy (Cao et al., 2017), financing costs (Gupta and Yuan, 2009), and operational efficiency (Guadalupe et al., 2012), and have ignored investment behavior. Research on this topic is challenging because of potential endogeneity problems due to lack of exogenous policy shocks.
Fortunately, the implementation of the Shanghai-Hong Kong Stock Connect program provides a natural experiment, as it canceled trading restrictions on 568 stocks on the Shanghai stock market for Hong Kong investors. Using this quasi-natural experiment, our study examines the real effect of stock market liberalization from the perspective of corporate investment efficiency. The determinants of investment efficiency are a fundamental question in the corporate finance field (Myers and Majluf, 1984), and this study offers insights into the role of financial reforms in the efficiency of resource allocation in the real economy.
Some previous studies suggest that, compared with domestic investors, foreign investors are more rational and have superior information (Kim and Verrecchia, 1994; Hartzell and Starks, 2003; Ferreira and Laux, 2007), which may improve corporate investment efficiency by reducing the degree of information asymmetry and strengthening supervision. Other studies show that foreign investors are also financial speculators and have disadvantages in terms of corporate information acquisition (Choe et al., 2005), which leads to some inefficient investment activities due to the short-sighted behavior of management. In the context of the continuous liberalization of the Chinese A-share market, this study examines whether foreign investors improve the investment efficiency of listed companies.
Specifically, using the shock of Shanghai-Hong Kong Stock Connect as a quasi-natural experiment, we examine the impact of stock market liberalization on firms' investment efficiency. The results show casual and robust evidence that opening the stock market promotes the investment efficiency of eligible firms. The effect is strongest in firms with poor information environment quality and bad corporate governance. Further analyses show that an improvement in the information quality of earnings and an increase in analyst forecast accuracy are two important channels through which stock market liberalization affects investment efficiency. We also find that the performance of eligible firms significantly improves.
Our study makes three contributions. First, an important aim of the Shanghai-Hong Kong Stock Connect is to improve the efficiency of resource allocation in mainland China's capital market, but it is still unclear how effective the program is. From the perspective of investment efficiency, this study provides rich evidence for the effectiveness of the Shanghai-Hong Kong Stock Connect and the subsequent opening of the capital market. Second, our study adds to the literature on stock market liberalization and investment efficiency. Unlike previous studies, this study alleviates the endogeneity problem by using the Connect program as a quasi-natural experiment. Third, our study has important practical implications. The role of foreign investors has always been a focus of policy makers interested in the liberalization of the Chinese capital market. Our results show that to attract foreign capital, it is crucial to improve the corporate information environment and resource allocation efficiency.