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深港通对深市A股流动性影响研究_硕士毕业论文DOC

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内容简介
“深港通”对深市A股流动性影响研究
——基于PSM-DID模型
摘要
我国资本市场的发展存在着信息透明度低,投资者以散户居多,跟风效应严
重,资本市场价格无法反映有效市场信息,从而导致了市场运行效率低下,资本
市场配置资源能力不强等问题。为顺应经济全球化发展,提高资本市场的资源配
置效率,我国资本市场实施了对外开放政策,不断提高对外开放水平。在出台了
QFII、QDII等一系列对外开放政策后,我国推出了互联互通机制,在“沪港通”
顺利实施的基础上,扩大开放再次推出“深港通”。为了探究我国对外开放对资
本市场资源配置效率的影响,本文基于“深港通”这一实际背景进行研究。
研究“深港通”对我国资本市场的影响是探讨对外开放资本市场对经济发展
影响的重要课题之一,而流动性是衡量资本市场质量的重要指标之一。因此,本
文从股票流动性视角出发,首先,利用 2013年 1月至 2019年 12月深圳交易所
A股经过筛选后的 1675只股票的月度数据作为研究样本,将 2016年 12月 5日
“深港通”开通后,属于“深股通”标的股的上市公司股票作为实验组,非标的
股的其余上市公司股票作为控制组,用 PSM模型进行 1:1不放回的卡尺内 K
近邻匹配。其次,利用匹配后的数据,基于 DID模型,研究了“深港通”对深
市 A股流动性的影响。接着,本文进一步探究了投资者负面情绪在“深港通”影
响股票流动性中是否具有调节作用,然后将总样本按不同板块市场和不同股票类
型进行划分,探究“深港通”对不同板块市场和不同股票类型的异质性影响,最
后,本文根据实证结果得出结论并提出相关政策建议。
本文实证研究表明:(1)“深港通”增强了深市 A股的股票流动性。(2)
“深港通”对股票流动性的影响作用有限。(3)投资者负面情绪在“深港通”
影响股票流动性中有调节作用。(4)“深港通”对不同板块市场股票影响程度
具有异质性,对创业板市场影响最大。(5)“深港通”对不同类型股票影响程度
具有异质性,对价值型股票影响更大。
基于实证研究结论,本文提出如下建议:(1)积极推动资本市场对外开放,
进一步提高我国对外开放水平。(2)加强市场监管,完善公司信息披露机制。
(3)加大投资者教育力度和保护力度。(4)投资者可增加创业板市场股票和价
值型股票的配置。
关键词:深港通;股票流动性;PSM-DID
1

Research on the influence of Shenzhen-Hongkong Stock
Connect on the liquidity of Shenzhen A-share
stock——Based on psm-did model
Abstract
There are some problems in the development of China's capital market, such as
the low transparency of information, the majority of investors are retail investors, the
serious follow-up effect, and the price of capital market can not reflect the effective
market information, which leads to the low efficiency of market operation and the
weak ability of capital market to allocate resources. In order to adapt to the
development of economic globalization and improve the efficiency of resource
allocation of capital market, China's capital market has implemented the policy of
opening to the outside world and continuously improved the level of opening to the
outside world. After the introduction of a series of opening-up policies such as QFII
and QDII, China launched the interconnection mechanism. On the basis of the smooth
implementation of the Shanghai-Hongkong Stock Connect, China expanded its
opening-up and launched the Shenzhen-Hongkong Stock Connect again. In order to
explore the impact of China's opening to the outside world on the efficiency of
resource allocation in the capital market, this paper is based on the actual background
of "Shenzhen-Hongkong Stock Connect".
To study the impact of "Shenzhen-Hongkong Stock Connect" on China's capital
market is one of the important topics to explore the impact of opening up capital
market on economic development, and liquidity is one of the important indicators to
measure the quality of capital market. Therefore, from the perspective of stock
liquidity, this paper firstly uses the monthly data of 1675 A-shares of Shenzhen Stock
Exchange from January 2013 to December 2019 as the research sample. After the
opening of "Shenzhen-Hongkong Stock Connect" on December 5, 2016, the stocks of
listed companies that belong to the subject stocks of "Shenzhen Stock Connect" were
taken as the experimental group, and the stocks of other listed companies were taken
as the control group. The PSM model is used to match the k-nearest neighbors in the
1:1 calipers. Secondly, using the matched data, based on the DID model, this paper
studies the impact of "Shenzhen-Hongkong Stock Connect" on the liquidity of a
3

shares in Shenzhen stock market. Then this paper further explores whether the
negative emotions of investors have a regulatory role in the impact of
"Shenzhen-Hongkong Stock Connect" on stock liquidity. Then this paper divides the
total sample into different plate markets and different stock types, and explores the
heterogeneous impact of "Shenzhen-Hongkong Stock Connect" on different plate
markets and different stock types. Finally, this paper draws conclusions and puts
forward relevant policies and suggestions according to the results.
The empirical research shows that: (1) "Shenzhen-Hongkong Stock Connect"
enhances the liquidity of a shares in Shenzhen stock market. (2) The effect of
"Shenzhen-Hongkong Stock Connect" on stock liquidity is limited. (3) The negative
emotions of investors play a moderating role in the impact of "Shenzhen-Hongkong
Stock Connect" on stock liquidity. (4) "Shenzhen-Hongkong Stock Connect" has
heterogeneous influence on different stock markets, and has the greatest influence on
GEM. (5) The influence of Shenzhen Hong Kong link on different types of stocks is
heterogeneous, especially on value stocks.
Based on the empirical research conclusions, this paper puts forward the
following suggestions: (1) actively promote the capital market opening to the outside
world, and further improve the level of China's opening to the outside world. (2)
Strengthen market supervision, improve the company's information disclosure
mechanism. (3) We will strengthen investor education and protection. (4) Investors
can increase the allocation of GEM market shares and value stocks.
Keywords: Shenzhen-Hongkong Stock Connection; Stock liquidity; PSM_DID
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