[论文解读] Hong Kong -- Shanghai Connect / Hong Kong -- Beijing Disconnect (?): Scaling the Great Wall of Chinese Securities Trading Costs

Ravi Kashyap|RePEc: Research Papers in Economics|Mar 4, 2016

Global Financial Crisis and Policies被引用 4

一句话总结

本文提出一种新颖的方法论，通过改进的市场冲击模型估算并比较香港与上海股市的交易成本，解决了中国市场的数据局限性问题。研究发现，在沪港通启动之前，上海股市的交易成本可能已相对香港上升，表明投机性需求导致的临时市场非效率。

ABSTRACT

We utilize a fundamentally different model of trading costs to look at the effect of the opening of the Hong Kong Shanghai Connect that links the stock exchanges in the two cities, arguably the biggest event in international business and finance since Christopher Columbus set sail for India. We design a novel methodology that compensates for the lack of data on trading costs in China. We estimate trading costs across similar positions on the dual listed set of securities in Hong Kong and China, hoping to provide useful pieces of information to help scale 'The Great Wall of Chinese Securities Trading Costs'. We then compare actual and estimated trading costs on a sample of real orders across the Hong Kong securities in the dual listed pair to establish the accuracy of our measurements. The primary question we seek to address is 'Which market would be better to trade to gain exposure to the same (or similar) set of securities or sectors?' We find that trading costs on Shanghai, which might have been lower than Hong Kong, might have become higher leading up to the Connect. What remains to be seen is whether this increase in trading costs is a temporary equilibrium due to the frenzy to gain exposure to Chinese securities or whether this phenomenon will persist once the two markets start becoming more and more tightly coupled. It would be interesting to see if this pioneering policy will lead to securities exchanges across the globe linking up one another, creating a trade anything, anywhere and anytime marketplace. Looking beyond mere trading costs, such studies can be used to gather some evidence on what effect the mode of governance and other aspects of life in one country have on another country, once they start joining up their financial markets.

研究动机与目标

• 通过开发一种新的估算方法论，解决中国证券市场交易成本数据不可靠的问题。
• 比较香港与上海市场中双重上市股票的实际与估算交易成本。
• 评估在相同证券暴露下，香港或上海市场哪边交易成本更低。
• 评估沪港通是否导致了持续的成本差异或暂时性扭曲。

提出的方法

• 开发定制化的市场冲击模型，通过调整非流动性与订单流因素，实现在中国股市数据稀疏情况下的成本估算。
• 采用两阶段建模方法：第一阶段为简单的市场冲击方程，第二阶段为结合价格冲击与订单规模的更复杂模型。
• 通过模拟交易情景估算实现成本短差，并比较相同证券在港股与A股市场的交易成本。
• 运用统计检验（ADF、PP、KPSS）评估价格与成交量序列的平稳性，确保模型可靠性。
• 通过对比估算成本与真实交易订单的实际执行数据，验证模型的准确性。
• 分析双重上市股票的价格收敛性与成交量曲线，以检测套利机会与市场效率。

实验结果

研究问题

• RQ1 在相同的一组双重上市证券下，香港或上海市场哪边交易成本更低？
• RQ2 在沪港通启动前，投机性资金流入与配额限制在多大程度上扭曲了上海市场的交易成本？
• RQ3 所提出的市场冲击模型在估算中国非流动性市场真实交易成本方面有多准确？
• RQ4 沪港通是否导致上海市场交易成本出现持续性或暂时性上升？
• RQ5 上海交易成本上升对中资与离岸资本市场长期一体化有何影响？

主要发现

• 在沪港通启动之前，上海股市的交易成本可能已相对香港上升，与预期的低成本假设相反。
• 本研究提出的新型市场冲击模型能准确估算交易成本，估算值与真实订单的实际成本高度一致。
• 双重上市股票在港沪市场间观察到价格收敛，但持续存在的价格溢价表明市场存在非效率。
• 部分股票的成交量曲线显示，上海市场的市场冲击更高，尤其是在需求旺盛时期。
• 上海交易成本的暂时性上升可能源于投机性需求，而非结构性市场非效率。
• 研究结果表明，沪港通可能不会立即促成成本收敛，市场整合或需较长时间。