Abstract
Based on the quarterly data of all A-share listed companies from 2011 to 2019, this article uses the multi period double difference model to explore the causes and transmission mechanism of the linkage effect of the stock prices of the two cities after the implementation of the “Land-Hong Kong Stock Connect”. The results show that: first, after the implementation of “Land-Hong Kong Stock Connect”, the degree of herd behavior of domestic investors as a whole becomes higher, and the larger the company scale is, the higher the degree of herd behavior of investors is; secondly, after the implementation of “Land-Hong Kong Stock Connect”, all listed companies have the behavior of internal investors imitating external investors, especially small and medium-sized companies; finally, from the overall sample From the point of view, the imitation behavior of internal investors is indeed conducted through the investor network, but it is divided into three categories: large, medium and small companies. Only the imitation transmission path of large companies is the investor network, and small and medium companies do not realize the imitation behavior through the network. The research of this article is helpful to appeal for rational investment of investors and provide empirical evidence support for further opening of capital market.
Highlights
Herding behavior in financial market is a kind of special irrational behavior, which means that investors tend to ignore their valuable private information and follow the decision-making mode of most people in the market
In order to promote the opening of the capital market and improve the phenomenon of irrational imitation in China, China has successively promulgated the Interim Measures for the administration of domestic securities investment by qualified overseas institutional investors, the pilot measures for domestic securities investment by fund management companies and RMB qualified overseas institutional investors of securities companies, and officially launched in November 2014 Shanghai Hong Kong Stock Exchange interconnection mechanism pilot was officially launched in December 2016
The results of this study show that: after the implementation of Land-Hong Kong Stock Connect, the degree of herd behavior of the whole investors in China has become higher, and the larger the company scale is, the higher the degree of herd behavior of investors is; at the same time, there are behaviors of internal investors imitating external investors in all listed companies, but only the imitation transmission path of large companies is the investor network, and the imitation path of small and medium-sized companies has not yet been
Summary
Herding behavior in financial market is a kind of special irrational behavior, which means that investors tend to ignore their valuable private information and follow the decision-making mode of most people in the market. Large companies generally have more standardized information disclosure and are more inclined to voluntary information disclosure due to high agency costs, large information requirements, and lower costs of preparing and publishing information (Zhong et al, 2005; Liu, 2008; Fang et al, 2009), so foreign capital will tend to invest in larger companies This may lead to the phenomenon of “grouping together” by external investors after the implementation of the land-port link mechanism to promote the further opening of the domestic capital market. This article proposes hypothesis H2: H2: One of the reasons for the linkage effect after the implementation of Land-Hong Kong Stock Connect is the existence of internal investors imitating the behavior of external investors. This article tries to focus on answering the question about imitating information channels: internal investors observe the investment behavior of institutional investors through the investor network to imitate and make their own investment decisions based on the information transmitted on the network, so this article proposes hypothesis H3: H3: Internal investors imitate external investors through the investor network
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