Can Capital Market Liberalization Improve the Governance Quality of Listed Companies: The Time-varying DID Test Based on Shanghai-Hong Kong Stock Connect

MA Ya-ming; MA Jin-ya; HU Chun-yang

Volume 36 Issue 4

Aug. 2021

Turn off MathJax

Article Contents

Article Navigation > Journal of Guangdong University of Finance & Economics > 2021 > 36(4): 81-95

MA Ya-ming, MA Jin-ya, HU Chun-yang. Can Capital Market Liberalization Improve the Governance Quality of Listed Companies: The Time-varying DID Test Based on Shanghai-Hong Kong Stock Connect[J]. Journal of Guangdong University of Finance & Economics, 2021, 36(4): 81-95.

Citation:

MA Ya-ming, MA Jin-ya, HU Chun-yang. Can Capital Market Liberalization Improve the Governance Quality of Listed Companies: The Time-varying DID Test Based on Shanghai-Hong Kong Stock Connect[J]. Journal of Guangdong University of Finance & Economics, 2021, 36(4): 81-95.

Citation:

MA Ya-ming, MA Jin-ya, HU Chun-yang. Can Capital Market Liberalization Improve the Governance Quality of Listed Companies: The Time-varying DID Test Based on Shanghai-Hong Kong Stock Connect[J]. Journal of Guangdong University of Finance & Economics, 2021, 36(4): 81-95.

PDF( 1079 KB)

Can Capital Market Liberalization Improve the Governance Quality of Listed Companies: The Time-varying DID Test Based on Shanghai-Hong Kong Stock Connect

School of Finance, Tianjing University of Finance and Economics, Tianjin 300222, China

Received Date: 2021-01-18
Available Online: 2021-08-04
Publish Date: 2021-07-18

Abstract

Abstract

In the context of the exogenous event that the Shanghai-Hong Kong Stock Connect trading system is introduced and its characteristics of announcing the pilot lists of companies in batches, this paper constructs a corporate governance quality index using principal component analysis (PCA) and builds the Time-varying Difference in Differences model to examine the impact of capital market liberalization on the governance quality of listed companies. It is found that the implementation of the Shanghai-Hong Kong Stock Connect system improved the quality of listed company governance by improving the quality of information disclosure, including the quality of internal accounting information and external supervision, and thereby increased the corporate value; this kind of uplifting effect is lagging and more pronounced in non-state-controlled and actively traded target companies. Furthermore, through the study on the continuity of the capital market liberalization system, it is also found that the optimization effect on corporate governance quality is more significant in companies without QFII holdings. In brief, the information effect of capital market liberalization can improve the governance quality of listed companies, thereby enhancing corporate value; the gradual and continuous capital market liberalization system can benefit more listed companies and promote their quality.
- capital market liberalization,
- Shanghai-Hong Kong Stock Connect,
- corporate governance quality,
- corporate value,
- the information effect,
- QFII,
- capital market,
- information disclosure

FullText(HTML)

References(35)

References

[1]	连立帅, 朱松, 陈超. 资本市场开放与股价对企业投资的引导作用: 基于沪港通交易制度的经验证据[J]. 中国工业经济, 2019(3): 100-118. https://www.cnki.com.cn/Article/CJFDTOTAL-GGYY201903009.htm
[2]	BEKAERT G, HARVEY C, LUNDBLAD C. Financial openness and productivity[J]. World Development, 2011, 39(1): 1-19. doi: 10.1016/j.worlddev.2010.06.016
[3]	KLEIN M, OLIVEI G. Capital account liberalization, financial depth and economic growth[J]. Journal of International Money and Finance, 2008, 27(6): 861-875. doi: 10.1016/j.jimonfin.2008.05.002
[4]	彭红枫, 朱怡哲. 资本账户开放、金融稳定与经济增长[J]. 国际金融研究, 2019(2): 3-12. https://www.cnki.com.cn/Article/CJFDTOTAL-GJJR201902001.htm
[5]	KAMINSKY G L, SCHMUKLER S L. Short-run pain, long-run gain: financial liberalization and stock market cycles[J]. Review of Finance, 2008, 12(2): 253-292. http://rof.oxfordjournals.org/content/12/2/253
[6]	戴淑庚, 余博. 资本账户开放会加剧我国的系统性金融风险吗——基于TVP-FAVAR和SV-TVP-VAR模型的实证研究[J]. 国际贸易问题, 2020(1): 159-174. https://www.cnki.com.cn/Article/CJFDTOTAL-GJMW202001011.htm
[7]	钟凯, 孙昌玲, 王永妍, 等. 资本市场对外开放与股价异质性波动——来自"沪港通"的经验证据[J]. 金融研究, 2018(7): 174-192. https://www.cnki.com.cn/Article/CJFDTOTAL-JRYJ201807011.htm
[8]	钟覃琳, 陆正飞. 资本市场开放能提高股价信息含量吗?——基于"沪港通"效应的实证检验[J]. 管理世界, 2018(1): 169-179. doi: 10.3969/j.issn.1002-5502.2018.01.014
[9]	BAE K, GOYAL V K. Equity market liberalization and corporate governance[J]. Journal of Corporate Finance, 2010, 16(5): 609-621. doi: 10.1016/j.jcorpfin.2010.08.008
[10]	陈运森, 黄健峤. 股票市场开放与企业投资效率——基于"沪港通"的准自然实验[J]. 金融研究, 2019(8): 151-170. https://www.cnki.com.cn/Article/CJFDTOTAL-JRYJ201908009.htm
[11]	AGGARWAL R, EREL I, FERREIRA M, et al. Does governance travel around the world? Evidence from institutional investors[J]. Journal of Financial Economics, 2011, 100(1): 154-181. doi: 10.1016/j.jfineco.2010.10.018
[12]	吴成颂, 胡寒笑, 王超. 短期跨境资本流动、货币政策和商业银行系统性风险——来自中国上市银行的经验证据[J]. 江南大学学报: 人文社会科学版, 2019(4): 107-114. doi: 10.3969/j.issn.1671-6973.2019.04.014
[13]	FERREIRA M A, MATOS P. The colors of investors' money: the role of institutional investors around the world[J]. Journal of Financial Economics, 2008, 88: 499-533 doi: 10.1016/j.jfineco.2007.07.003
[14]	LEUZ C, LINS K V, WARNOCK F E. Do foreigners invest less in poorly governed firms?[J]. Review of Financial Studies, 2009, 22: 3245-3285. doi: 10.1093/rfs/hhn089
[15]	HUANG W, ZHU T. Foreign institutional investors and corporate governance in emerging markets: evidence of a split-share structure reform in China[J]. Journal of Corporate Finance, 2015, 32: 312-326. doi: 10.1016/j.jcorpfin.2014.10.013
[16]	丁楠, 李文涛. QFⅡ持股、公司治理与上市公司绩效——基于2010-2013年中国A股上市公司的实证分析[J]. 中国注册会计师, 2015(9): 36-42. doi: 10.3969/j.issn.1009-6345.2015.09.009
[17]	刘程, 王仁曾. 资本市场开放与公司治理优化——基于"沪港通"的准自然实验[J]. 财会月刊, 2020(12): 18-26. https://www.cnki.com.cn/Article/CJFDTOTAL-CKYK202012004.htm
[18]	李春涛, 刘贝贝, 周鹏, 等. 它山之石: QFⅡ与上市公司信息披露[J]. 金融研究, 2018(12): 138-156. https://www.cnki.com.cn/Article/CJFDTOTAL-JRYJ201812009.htm
[19]	邹洋, 张瑞君, 孟庆斌, 等. 资本市场开放能抑制上市公司违规吗?——来自"沪港通"的经验证据[J]. 中国软科学, 2019(8): 120-134. doi: 10.3969/j.issn.1002-9753.2019.08.010
[20]	EDMANS A. Blockholder trading, market efficiency, and managerial myopia[J]. Journal of Finance, 2009, 64(6): 2481-2513. doi: 10.1111/j.1540-6261.2009.01508.x
[21]	GUL F A, KIM J, QIU A A. Ownership concentration, foreign shareholding, audit quality, and stock price synchronicity: evidence from China[J]. Journal of Financial Economics, 2010, 95: 425-442. http://www.sciencedirect.com/science/article/pii/S0304405X09002359
[22]	ADMATI A R, PFLEIDERER P. The"Wall Street Walk"and shareholder activism: exit as a form of voice[J]. Review of Financial Studies, 2009, 22(7): 2645-2685. http://www.istic.ac.cn/suoguan/detailed.htm?dbname=xw_qk&wid=0220090900059767
[23]	CHUNG C Y, KIM H, RYU D. Foreign investor trading and information asymmetry: evidence from a leading emerging market[J]. Applied Economics Letters, 2017, 24(8): 540-544.
[24]	FANG V W, MAFFETT M, ZHANG B. Foreign institutional ownership and the global convergence of financial reporting practices[J]. Journal of Accounting Research, 2015, 53: 593-631.
[25]	BHUSHAN R. Firm characteristics and analyst following[J]. Journal of Accounting Economics, 1989, 11(2): 255-274.
[26]	王茂斌, 孔东民. 反腐败与中国公司治理优化: 一个准自然实验[J]. 金融研究, 2016(8): 159-174. https://www.cnki.com.cn/Article/CJFDTOTAL-JRYJ201608011.htm
[27]	马连福, 王丽丽, 张琦. 混合所有制的优序选择: 市场的逻辑[J]. 中国工业经济, 2015(7): 5-20. https://www.cnki.com.cn/Article/CJFDTOTAL-GGYY201507002.htm
[28]	肖钢. 中国资本市场变革[M]. 北京: 中信出版社, 2020: 101-105.
[29]	杨典. 公司治理与企业绩效——基于中国经验的社会学分析[J]. 中国社会科学, 2013(1): 72-94, 206. https://www.cnki.com.cn/Article/CJFDTOTAL-ZSHK201301010.htm
[30]	周林洁. 公司治理、机构持股与股价同步性[J]. 金融研究, 2014(8): 146-161. https://www.cnki.com.cn/Article/CJFDTOTAL-JRYJ201408010.htm
[31]	白重恩, 刘俏, 陆洲, 等. 中国上市公司治理结构的实证研究[J]. 经济研究, 2005(2): 81-91. https://www.cnki.com.cn/Article/CJFDTOTAL-JJYJ200502008.htm
[32]	BECK T, LEVINE R, LEVKOV. Big bad banks? the winners and losers from bank deregulation in the United States[J]. The Journal of Finance, 2010, 65(5): 1637- 1667. doi: 10.1111/j.1540-6261.2010.01589.x/full
[33]	KOTHARI S P, LEONE A, WASLEY C. Performance matched discretionary accrual measures[J]. Journal of Accounting and Economics, 2005, 39(1): 163-197. http://www.sciencedirect.com/science/article/pii/S0165410104000849
[34]	PREACHER K J, HAYES A F. Asymptotic and resampling strategies for assessing and comparing indirect effects in multiple mediator models[J]. Behavior Research Methods, 2008, 40(3): 879-891. http://drc.bmj.com/lookup/external-ref?access_num=10.3758/BRM.40.3.879&link_type=DOI
[35]	HAYES A. Introduction to mediation, moderation, and conditional process analysis[J]. Journal of Educational Measurement, 2013, 51(3): 335-337. http://psycnet.apa.org/psycinfo/2013-21121-000