摘要
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2014年11月17日和2016年12月5日，作为互联互通计划的“沪港通”
计划和“深港通”计划先后启动，这两个计划的实施为国际投资者提供了一个通
过港股市场进入中国的途径。
本文基于政策效应评估的研究视角，利用沪深A 股上市公司相关数据，结
合“沪港通”计划和“深港通”计划等政策的实施，通过面板数据的固定效应识
别方法，验证了资本市场开放对企业投资的影响机制及其作用路径。
本文的研究结论认为：作为一项资本市场开放政策，陆港通计划显著通过提
高股票流动性和股票竞争程度提高了企业投资效率。对子样本的进一步研究后，
发现：（1）资本市场开放对企业投资效率的改善作用在机构持股比例较高的样本
中更加显著；（2）股权过于集中和分散的样本中资本市场开放对企业投资效率的
改善作用则不显著；（3）和国有企业相比，资本市场开放对非国有企业投资效率
的改善作用更为显著。本文探究陆港通政策对上市企业投资效率的影响，不仅有
助于丰富相关理论文献，而且对资本市场开放政策的评估与完善具有重要的指导
意义和现实启示。
关键词：资本市场开放，投资效率，股权结构，陆港通
I
Abstract
Abstract
The Shanghai-Hong Kong Stock Connect program,which allows investors in the
Shanghai and Hong Kong stock markets to trade a specific range of stocks on each
other's markets,was launched on Nov.17,2014.On December 5,2016,the Shenzhen-
Hong Kong Stock Connect program was officially launched as the second step of
connectivity.The two schemes provide international investors with a way to access
China through the Hong Kong stock market.
Based on the data of A-shares listed on Shanghai and Shenzhen Stock Exchanges
from 2011to 2020,this paper studies the impact of capital market opening on
enterprises'investment efficiency and verifies the influence mechanism and action path
of capital market opening on enterprise investment through fixed effect identification
method of panel data.
After controlling the factors that measure the company-specific factors and market
performance,our basic model shows that,as a capital market opening policy,the SHSCs
can significantly improve their investment efficiency by improving stock liquidity and
enhancing the degree of stock competition.Further research on the sub-sample shows
that:(1)The improvement effect of capital market opening on enterprise investment
efficiency is more significant in the sample with a higher proportion of institutional
ownership,(2)The capital market opening has no significant effect on the improvement
of investment efficiency in the sample of over-concentration or over-dispersion of
equity;(3)Compared with state-owned enterprises,capital market opening plays a
more significant role in improving the investment efficiency of non-state-owned
enterprises.This paper explores the impact of the land-port Connect policy on the
investment efficiency of listed enterprises,which not only helps to enrich relevant
theoretical literature,but also has important guiding significance and practical
enlightenment for the evaluation and improvement of capital market opening policy.
Key Words:Capital Market Opening,Investment Efficiency,Equity Structure,Stock
Connect
II
目录
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摘要................................................................I
Abstract ...........................................................II
第1章绪论.........................................................1
1.1研究背景与研究意义..........................................1
1.1.1研究背景..............................................1
1.1.2研究意义..............................................5
1.2文献综述....................................................7
1.2.1资本市场开放的研究文献回顾............................7
1.2.2企业投资效率的研究文献回顾............................9
1.2.3文献述评.............................................10
1.3研究框架与研究方法.........................................10
1.3.1研究框架.............................................10
1.3.2研究方法.............................................12
1.4可能的创新点与不足.........................................13
1.4.1创新点...............................................13
1.4.2不足之处.............................................13
第2章资本市场开放影响企业投资效率的理论分析......................15
2.1相关理论基础...............................................15
2.1.1金融发展理论.........................................15
2.1.2国际资本流动理论.....................................15
2.1.3委托代理理论.........................................17
2.1.4公司治理理论.........................................17
2.2资本市场开放影响企业投资效率的机理分析.....................19
2.2.1资本市场开放与企业投资效率...........................19
2.2.2资本市场开放影响企业投资效率的渠道分析...............20
2.2.3资本市场开放影响企业投资效率的情境因素分析...........21
第3章资本市场开放影响企业投资效率的研究设计......................26
3.1实证研究设计...............................................26
3.1.1样本选取与数据来源...................................26
3.1.2基准模型.............................................26
3.1.3中介效应模型.........................................26
3.2资本市场开放的测度.........................................27
3.2.1测度方法比较.........................................27
3.2.2本文选择的测度方法...................................27
3.3企业投资效率的测度.........................................28
3.3.1测度方法比较.........................................28
3.3.2本文选择的测度方法...................................28
3.4中介变量的选择与测度.......................................29
3.4.1股权资本成本.........................................29
3.4.2股票流动性...........................................30
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目录
3.4.3企业股票竞争程度.....................................30
3.5控制变量...................................................31
第4章资本市场开放影响企业投资效率的实证分析......................32
4.1变量的描述性统计...........................................32
4.1.1相关性检验...........................................33
4.1.2单变量检验...........................................34
4.2模型估计...................................................35
4.2.1基本模型.............................................35
4.2.2引入中介变量.........................................37
4.2.3进一步分析...........................................39
4.3稳健性检验.................................................41
4.3.1替换变量.............................................41
4.3.2增加控制变量.........................................41
4.3.3倾向得分匹配.........................................42
4.3.5缩小样本检验.........................................43
第5章结论与建议..................................................47
5.1主要结论...................................................47
5.2建议.......................................................48
附录A：用股息收益率衡量资本成本...................................50
参考文献...........................................................52
在读期间发表的学术论文及研究成果...................................59
致谢...............................................................60
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