Stock market liberalisation and acquisition outcomes: Evidence from a natural experiment
以沪港通和深港通政策为自然实验，用双重差分法研究股市自由化如何影响并购公告回报，发现短期回报因投资者情绪上升而提高，但长期效果不显著。
Abstract Taking the Shanghai/Shenzhen‐Hong Kong stock connect policy as a natural experiment, we use a difference‐in‐differences approach to investigate how stock market liberalisation affects M&A outcomes. Employing a sample of Chinese listed firms from 2011 to 2020, we find that the stock market liberalisation leads to more positive M&A announcement returns. The positive effect on M&A announcement returns is the result of increased investor sentiment after market liberalisation. It is the investor sentiment mechanism through which stock market liberalisation has effects on M&A short‐term returns. Further analysis indicates that stock market liberalisation does not impose positive effects on long‐term M&A outcomes. We do not find evidence that M&As initiated by connected firms to be more value‐added.