来自新兴市场的公司上市对目的地市场的影响——以中国香港市场为例

选取1993-2017年数据,以H股在香港证券市场上市为研究对象,运用DCC-MVGARCH模型、线性回归模型和事件研究法等多种组合方法,考察来自新兴市场的公司上市对目的地市场发展和目的地既有上市公司影响。结果表明:第一,H股在港上市扩大了香港市场的市场规模和交易活动,吸引了更多的国际资本流入;第二,H股在港上市提升了H股与香港市场既有股票的收益相关性,以及香港市场与大陆市场及全球市场的联动性;第三,H股在港上市对既有股票的估值影响是积极的。总之,来源于新兴市场的公司上市对目的地市场和既有上市公司的综合影响是积极的,溢出效应大于"质量传染"效应和分流效应,促进了目的地市场质量提升和市场发展。本文结论有助于丰富跨境上市对目的地市场影响的研究,对于基于"一带一路"新兴市场国家开放资本市场战略构建国际金融中心的我国具有重要的启示意义。

The Impact of Companies Listing from Emerging Markets on the Host Market -The Case of the Hong Kong Market

In this paper, selecting the data from 1993 to 2017 and taking H shares as the research object, linear regression models, DCC-MVGARCH model and the event research are used to analyze the listing of companies from emerging markets having an impact on the development of the host market and the existing listed companies in the host market. The results of the study are as follows:Firstly, the listing of H shares in Hong Kong has expanded the market size and trading activities of the Hong Kong market, attracting more international capital; Secondly, the listing of H shares in Hong Kong market has improved the returns of H shares and existing Hong Kong stocks. Moreover, the correlation with the Hong Kong market and the global securities market is enhanced; Thirdly, the impact of H-share listings on the valuation of existing shares is also positive. In short, the overall impact of companies listing from emerging markets on the host market and existing listed companies is positive. The spillover effect is greater than the "quality contagion" effect and crowding out effect. Furthermore, it promotes market quality promotion and market development of the host market. The conclusion of this study is helpful to enrich the study of the impact of cross-border listing on the host market, and it is of great significance for China to build an international financial center based on the strategy of opening up the capital market for the "One Belt and One Road" emerging market countries.