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。初始样本为2011至2018年沪深两市A股上市公司。鉴于金融与鉴证行业的业务内容与会计核算方式与其他行业存在显著差异，本研究将其剔除；随后通过以下步骤对样本进行筛选：（1）剔除异常公司，包括特别处理公司（special-treated firms）与特别转让公司（particular transfer firms）；（2）删除资产负债率大于1以及存在变量缺失值的公司；（3）剔除样本期内被调出沪港通（Shanghai-Hong Kong Stock Connect）标的的公司；（4）对连续变量在1%与99%分位数处进行缩尾处理（winsorizing），以消除潜在异常值的影响。最终样本共包含14124个公司年度观测值。