沪深港通交易制度与股票市场韧性

Abstract

As China's economic transition and financial liberalisation continue to deepen, the influence of external shocks on the Chinese stock market has progressively intensified. Enhancing the stock market's resilience to negative shocks has therefore become an essential component of strengthening overall market stability. Resilience refers to a system's ability to withstand external disturbances and return to a stable state under stress. In the stock market context, it reflects the capacity of market indices and individual stocks to maintain stability following adverse events. Unlike traditional static indicators of stock market stability – such as idiosyncratic volatility and stock price crash risk – market resilience focuses more on the system's ability to absorb shocks and restore stability during and after disruptive events, rendering it an indispensable measure for assessing dynamic stability. However, the stock market's recovery capacity remains unexplored through the lens of resilience, and the role of financial openness in enhancing it constitutes a significant open question. To investigate this empirically, this paper operationalises stock market resilience through the resilience performance of stock price volatility and trading volume. Applying an autoregressive moving average – exponential generalised autoregressive conditional heteroscedasticity (ARMA – EGARCH) model and Monte Carlo simulation, it measures the time required for stock price volatility and turnover rates to recover to pre-shock levels following a negative shock. This yields a precise, micro-level measurement of volatility resilience and trading volume resilience for individual stocks. Analysing data from China's A-share listed companies, this paper examines the impact of the Shanghai – Hong Kong and Shenzhen – Hong Kong Stock Connect programmes – a pivotal financial opening-up policy – on stock market resilience. The main findings are as follows. First, the Stock Connect programmes significantly enhance both the volatility and trading volume resilience of eligible stocks, indicating their role in stabilising prices and invigorating trading, thereby contributing to market stability. Second, improvements in stock liquidity and reductions in information asymmetry in stock trading serve as important causal mediating mechanisms through which the Stock Connect enhances volatility resilience and trading volume resilience, respectively. Furthermore, the strengthening effect of the Stock Connect on both forms of resilience is more pronounced during periods of a stronger RMB exchange rate, an upward trend in global stock markets, and higher risk aversion of domestic investors. This study contributes to the literature in four key aspects. (i) It provides evidence from a resilience perspective for the discussion on the relationship between financial openness and financial stability. (ii) It identifies the causal mediating mechanisms through which the Stock Connect programmes enhance stock market resilience, clarifying the intrinsic linkages between liquidity, information asymmetry and resilience. (iii) By exploring how the impact of the Stock Connect varies across different types of stocks and market environments, it helps to reveal the economic principles through which financial opening-up policies affect stock market resilience and, by extension, overall market stability. (iv) It offers a methodological entry point for examining stock market resilience at the micro level and, for the first time, constructs datasets on volatility resilience and trading volume resilience for A-share listed companies, thereby establishing a data foundation for future research. Consequently, this research provides a robust framework for evaluating the effects of financial liberalisation, with direct implications for policymakers aiming to enhance capital market stability through institutional openness.