Shanghai-Hong Kong Stock Connect and Investment Efficiency

We obtained the data from the China Stock Market and Accounting Research database and Wind database. The sample consists of A-share listed companies in both Shanghai and Shenzhen stock exchanges from 2011 to 2018. Since the business content and accounting methods of the finance and assurance industry are significantly different from those of other industries, we excluded them and then filtered the sample by (1) removing abnormal companies such as special-treated firms and particular transfer firms, (2) deleting firms with asset-liability ratios greater than 1 and other variables with missing values, (3) removing firms that were delist from the Shanghai-Hong Kong Stock Connect program during the sample period, and (4) winsorizing the continuous variables at the 1st and 99th percentiles to eliminate potential outlier effects. The final sample included 14,124 firm-year observations.

本研究数据取自中国股票市场与会计研究数据库（China Stock Market and Accounting Research）与万得（Wind）数据库。研究样本初始为2011至2018年沪、深两市全部A股上市公司。鉴于金融与鉴证行业的业务内容及会计核算方法与其他行业存在显著差异，故将该行业样本予以剔除。随后按照以下标准对剩余样本进行筛选：（1）剔除被实施特别处理（Special Treatment，ST）及特别转让公司等异常经营主体；（2）删除资产负债率大于1以及存在其他变量缺失值的上市公司；（3）剔除样本期内被调出沪港通标的范围的公司；（4）对连续变量在1%与99%分位处进行缩尾处理，以消除潜在异常值的干扰。最终得到14124个公司-年度观测值。