Using the non-parameter panel data method, this paper studies on whether Shanghai-Hong Kong Stock Connect Mechanism has brought Shanghai Stock Market's valuation back to rationality. Taking the announcement effect into consideration, we estimate the mechanism's short-term and mid-and-long term impact on the different kinds of stocks in Shanghai Stock Market. The empirical results show：（1）The announcement effect of the mechanism's approval in April, 2014 made the valuation of the whole market decline temporarily;（2）The implementation of the mechanism elevated the valuation lever of the market in short term;（3）In the mid-and-long term, the whole market's valuation was adjusted downward while the influence on the different kinds of stocks varied a lot, with the valuation of SSE 180 Index, consisting of large blue chips, increased significantly, and that of SSE 380, consisting of medium-sized growth stocks, decreased slightly;（4）The adjustment function has not been enhanced continuously. From our point of view, Shanghai-Hong Kong Stock Connect Mechanism has brought Shanghai Stock Market's valuation back to rationality by not only introducing oversea mature investors, but broadening the range of investment for domestic investors as well, while the lasting guiding and demonstration function of the two markets' institutional gap is not significant, which means the capital market's opening to the outside world should be deeper and wider gradually.
Key words
Shanghai-Hong Kong Stock Connect Mechanism /
Valuation Level /
Shanghai Stock Market /
Announcement Effect
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Footnotes
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