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“沪港通”即沪港股票市场交易互联互通机制,分为“沪股通”和“港股通”两部分,是我国资本市场与国际资本市场接轨的重要举措。本文从实证角度出发,以沪港通交易范围内的567家沪市A股上市公司为样本,利用Fama-French三因素模型分析沪港通对沪市的影响。实证结果显示:样本存在显著的规模效应和账面市值比效应,沪港通利好全体样本公司,尤其是大市值、高账面市值比的公司;FamaFrench三因素模型适用于本次研究,能够很好地对25个组合定价,且沪港通的开通使模型更适应中国股市;组合回归方程的调整R方从71.19%增至87.94%;“沪港通”开通前后截距项基本都无异于0(仅1个α值显著但值小于0.01);“沪港通”的开通对系统风险影响不明显;沪港通的开通后,规模因子的解释能力增强,其系数s整体有所提高,显著个数也大幅增加;开通前后相比,账面市值比因子的解释能力都不强,回归系数h值整体有所提高。上述结论综合反映出“沪港通”对促进中国股市发展完善的积极作用。
The “Shanghai-Hong Kong Stock Connect” refers to the trading interconnection mechanism between Shanghai and Hong Kong stock markets. It is divided into two parts: “Shanghai Stock Connect” and “Hong Kong Stock Connect.” This is an important measure for our country’s capital markets to be in line with international capital markets. This article from an empirical point of view, the Shanghai-Hong Kong Stock Connect traded within the 567 Shanghai A-share listed companies as a sample, the use of Fama-French three-factor model analysis of the Shanghai-Hong Kong Stock Connect Shanghai stock market. The empirical results show that there is a significant scale effect and book-to-market ratio effect on the sample, and the Shanghai-Hong Kong Stock Connect is favorable to all the sample companies, especially those with large market capitalization and high book value ratio. The FamaFrench three-factor model is suitable for this study. The pricing of 25 portfolios and the opening of Shanghai-Hong Kong Stock Connect made the model more adaptable to the Chinese stock market. The adjusted R-side of the portfolio regression equation increased from 71.19% to 87.94%. The intercepts of Shanghai-Hong Kong Stock Connect (Only one value of α is significant but the value is less than 0.01). The opening up of “Shanghai-Hong Kong Stock Connect” has no obvious effect on the system risk. After the opening of Shanghai-Hong Kong Stock Connect, the explanatory power of scale factor is enhanced. The coefficient s The number of significant increases also increased significantly. Before and after the opening, the book value of market capitalization was not as strong as that of the factor, and the value of the regression coefficient h as a whole had increased. The above conclusion comprehensively reflects the active role of “Shanghai-Hong Kong Stock Connect” in promoting the development of the Chinese stock market.