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《经济管理学刊（中英文版）》是一本关注经济管理领域最新进展的开源国际学术期刊。本刊采用开放获取模式，报道经济管理领域的最新科研成果，旨在反映学术前沿进展及水平，促进学术交流，为国内外该领域的学者、科研人员提供一个良好的交流平台，以推进经济管理理论与实务的发展。本刊可接收中、英文稿件。但中文稿件要有详细的英文标题、作者、单位、摘要和关键词。初次投稿请按照稿件模板排版后在线投稿。录用稿件首先刊发在期刊网站上，然后由Ivy Publisher出版公司出版，面相全球公开发行。因此，要求来稿均不涉密，文责自负。
ISSN Print: 2169-6020 ISSN Online: 2169-6039
投稿邮箱: emj@ivypub.org 出版频次: 季刊（3/6/9/12月）
1. 所有投至本刊的文章都需经过科技期刊学术不端文献检测系统AMLC进行文献检测。
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沪港通方案是否增强标的股票的异常收益率和交易波动性：一个准自然实验设计
作者：Puzhen He, Zhehao Zhu
摘要：
Shanghai-Hong Kong Stock Connect Program, which is a new starting point for the opening up of the mainland capital market, still has many uncertainties. Research on the benefits and market volatility of such policies can provide investors with time to invest in such policies, fluctuations in the underlying stocks of the Chinese stock market, and decision support for the formulation and revision of relevant policies. This paper studies whether there is significant abnormal rate of return in the selected stocks which are in the Shanghai Stock Connect Program within the specified period, the excess return gap between the stocks which are in the program and which are not in the program, and the impact of the Shanghai Stock Connect Program on the volatility of the relevant stocks. Based on the CAPM model and the Fama-French 3-factor model, this paper uses t test to study the significance of the abnormal rate of return. By establishing a difference-in-difference (DID) model, the regression of the abnormal rate of return is tested, and the sample volatility is analyzed according to the influence of the fund transaction. The study found that the stocks in the program have significant abnormal rate of returns during the window period. The Shanghai Stock Connect has brought about a huge change in transaction amount, and policy makers need to improve related and similar policies.
关键词：Shanghai Stock Connect Program; Abnormal Rate of Return; DID Model; Event Study
参考文献：
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[2] Guo Yangsheng. Does the Shanghai-Hong Kong Stock Connect Mechanism Enhance the Value of the Company? [J]. Journal of Guangdong University of Finance and Economics, 2018, 33(2): 77-88.
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[6] Shi Ruo. Empirical Analysis of the Flow of Shanghai Stock Connect Fund and Shanghai Stock Index [J]. Economic and Trade Practice, 2017 (23).
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