Does the Capital Market Opening Improve the Price Discovery Efficiency of Stock Market? An Empirical Research Based on Shanghai-Hong Kong Stock Connect

Table 6

The results of PSM + DID.

	Full Sample				PSM Sample
	Price_info		Delay		Price_info		Delay
	Coefficient	T value	Coefficient	T value	Coefficient	T value	Coefficient	T value
Post	0.014	0.28	0.003	−4.59	0.032	0.34	0.003	2.66
Open	−0.041	−0.81	0	0.11	−0.036	−0.4	0.001	1.29
Post  Open	0.022	0.33	−0.002	−3.15	−0.057	−0.6	−0.004	−3.59
Size	−0.042	−1.51	0.002	5.92	−0.007	−0.15	0.003	5.06
Leverage	0.217	2.35	0	0.32	0.193	1.29	0.002	1.02
Roa	0.943	2.36	0.007	1.49	1.332	1.76	−0.001	−0.08
Growth	0.123	2.82	0	−0.88	0.114	1.17	0.001	0.48
Firstholder	−0.178	−1.62	0.002	1.71	−0.042	−0.24	0.002	0.91
Managershare	0.210	2.04	0.003	2.76	0.394	1.93	0.005	2.27
Boardsize	−0.008	−0.79	0.000	2	0.013	0.9	0	0.64
Independ	0.316	1.1	−0.001	−0.35	0.842	1.99	−0.003	−0.71
SOE	0.022	0.58	0	0.1	0.058	1.03	0	0.28
Dual	0.041	1.12	0	0.54	0.112	1.82	0	−0.69
Big4	−0.106	−1.81	0	0.27	−0.122	−1.6	−0.001	−0.7
Analyst	0.002	0.77	0	−0.62	0.001	0.33	0.000	−2.46
Liquidity	21.214	1.17	0.429	1.94	32.584	0.83	1.077	2.28
MB	−0.332	−4.26	−0.002	−2.16	−0.413	−3.33	−0.005	−3.32
Turnover	−0.011	−1.75	0.001	12.77	−0.001	−0.07	0.001	8.22
Age	−0.001	−0.44	0.000	−2.36	−0.004	−0.77	0.000	−2.94
Intercept	−3.617	−7.9	0.763	139.97	−4.672	−6.81	0.754	85.23
Industry	Yes		Yes		Yes		Yes
Adj R2	0.022		0.1		0.037		0.119
N	6501		6501		2518		2518

Note: indicates significance at the 1% level, indicates significance at the 5% level, and indicates significance at the 10% level.