Liberalización del mercado de valores y comportamiento de tunneling de los grandes accionistas: Evidencia del Programa de Conexión Bursátil entre China Continental y Hong Kong

Wu, Maoguo; Liu, Yihao; Mao, Yuhan; Zhai, Ziqi; Wang, Yuwei

doi:10.1590/S0034-759020250601

home Sumário navigate_before Anterior Atual Seguinte navigate_next

home Sumário

ARTICLES • Rev. adm. empres. 65 (06) • 2025 • https://doi.org/10.1590/S0034-759020250601 linkcopiar

Liberalización del mercado de valores y comportamiento de tunneling de los grandes accionistas: Evidencia del Programa de Conexión Bursátil entre China Continental y Hong Kong

Autoría SCIMAGO INSTITUTIONS RANKINGS

RESUMEN

Utilizando datos de empresas que cotizan en acciones A en la Bolsa de Shanghái y la Bolsa de Shenzhen de 2007 a 2018, este estudio investiga el impacto de la liberalización del mercado de valores en el comportamiento de tunneling de los grandes accionistas. Empleando el Programa de Conexión Bursátil entre China Continental y Hong Kong como experimento natural, construimos un modelo escalonado de diferencias en diferencias y encontramos que la liberalización del mercado de valores inhibe significativamente el comportamiento de tunneling de los grandes accionistas. Otras pruebas revelan que el aumento de la presión de venta de acciones, el equilibrio de los derechos de los accionistas y la mejora del entorno informativo son mecanismos potenciales. Las pruebas de heterogeneidad revelan que la relación negativa entre la liberalización del mercado de valores y el comportamiento de tunneling de los grandes accionistas es más pronunciada en las empresas estatales y en las empresas que no contratan auditores de las denominadas “Big Four”. Este estudio aporta pruebas empíricas de que la liberalización del mercado de valores desempeña un papel disciplinario en la mitigación de los costes de agencia de las empresas de una economía emergente.

Palabras clave:
liberalización del mercado de valores; conexión de las bolsas de China continental y Hong Kong; comportamiento de tunneling de los grandes accionistas; gobierno corporativo; economía emergente

Variables	Definition	Reference
Tunneling	Annual related-party transactions amount / total assets at the beginning of the year, adjusted for industry median	Hou et al. (2017), Li et al. (2008), Sun et al. (2017), Sun et al. (2020), and Yu and Xia (2004)
Treat	Dummy variable. Takes a value of 1 if the company joins the program during the sample period, and 0 otherwise	Sun et al. (2020)
Post	Dummy variable. Takes a value of 1 for the current year and the following years when the company becomes the target enterprise of the policy, and 0 otherwise	Sun et al. (2020)
Treat×Post	Takes a value of 1 for companies participating in the program in the current year, and 0 otherwise	Sun et al. (2020)
LogSIZE	The logarithm of the enterprise’s total assets for the year	Hou et al. (2017), Sun et al. (2020)
ROA	The enterprise’s closing net profit for the year / closing total assets	Hou et al. (2017), Sun et al. (2020)
LEV	Total liabilities of the enterprise at the end of the year / total assets at the end of the year	Hou et al. (2017), Sun et al. (2020)
TobinQ	The market value of the enterprise’s total assets / replacement cost of the enterprise’s total capital	Hou et al. (2017), Sun et al. (2020)
TopHold	The percentage of shares held by the enterprise’s largest shareholder at the end of the year	Hou et al. (2017), Sun et al. (2020)
InHold	Shareholding of institutional investors as a percentage of the total number of shares of the enterprise. According to the Securities Law of the People’s Republic of China, institutional investors consist of mutual funds, qualified foreign institutional investors, securities dealers, insurance companies, social insurance institutions, trust companies, finance companies, and banks.	Hou et al. (2017), Sun et al. (2020)
InDpt	The proportion of independent directors in the board of directors of the enterprise	Hou et al. (2017), Sun et al. (2020)
Separate	The difference between the control and ownership of the effective controller of the enterprise. It takes a value of 1 if the difference is above the annual median, and 0 otherwise	Hou et al. (2017), Sun et al. (2020)
SOE	State-owned enterprises take the value of 1, and 0 otherwise	Hou et al. (2017), Sun et al. (2020)
Big4	Enterprises that hire the Big 4 accounting firms to audit their annual reports take the value of 1, and 0 otherwise	Hou et al. (2017), Sun et al. (2020)

Variable	N	Mean	SD	Min	P25	P50	P75	Max
Tunneling	15547	0.189	0.622	-0.883	-0.171	0	0.308	3.936
Treat×Post	15547	0.164	0.370	0	0	0	0	1
LogSIZE	15547	22.04	1.118	19.91	21.23	21.91	22.72	25.25
ROA	15547	0.0371	0.0591	-0.214	0.0122	0.0340	0.0644	0.209
LEV	15547	0.453	0.202	0.0597	0.298	0.453	0.608	0.892
TobinQ	15547	2.087	1.270	0.902	1.279	1.677	2.409	8.201
TopHold	15547	33.26	14.13	8.990	22.18	31.12	42.50	72.43
InHold	15547	0.262	0.231	0	0.0622	0.194	0.427	0.833
InDpt	15547	0.372	0.0521	0.333	0.333	0.333	0.429	0.571
Separate	15547	0.530	0.499	0	0	1	1	1
SOE	15547	0.351	0.477	0	0	0	1	1
Big4	15547	0.0368	0.188	0	0	0	0	1

	(1)	(2)	(3)
	Tunneling	Tunneling	Tunneling
Treat×Post	-0.0812^{^***}	-0.120^{^***}	-0.118^{^***}
	(-3.89)	(-5.46)	(-5.38)
LogSIZE		0.0761^{^***}	0.0820^{^***}
		(3.45)	(3.65)
ROA		1.050^{^***}	0.985^{^***}
		(7.45)	(7.11)
LEV		0.708^{^***}	0.728^{^***}
		(8.96)	(9.23)
TobinQ		-0.00254	-0.00485
		(-0.32)	(-0.62)
TopHold		0.000605	0.000802
		(0.45)	(0.59)
InHold		0.0829^{^**}	0.102^{^***}
		(2.09)	(2.58)
InDpt		-0.253	-0.261
		(-1.32)	(-1.36)
Separate		0.0365	0.0293
		(1.35)	(1.09)
SOE		-0.177^{^***}	-0.156^{^***}
		(-3.39)	(-3.06)
Big4		-0.0653	-0.0524
		(-1.11)	(-0.92)
N	15547	15547	15547
Adj. R²	0.008	0.041	0.047
Firm	Yes	Yes	Yes
Year	Yes	Yes	Yes
Industry×Year	No	No	Yes

	Tunneling
Treat×Before6	0.0554
	(1.07)
Treat×Before5	0.00547
	(0.10)
Treat×Before4	-0.0335
	(-0.62)
Treat×Before3	-0.0647
	(-1.18)
Treat×Before2	-0.104
	(-1.46)
Treat×Before1	-0.0718
	(-1.29)
Treat×Current	-0.0200^{^*}
	(-1.74)
Treat×After1	-0.0713^{^*}
	(-1.80)
Treat×After2	-0.0862^{^**}
	(-2.13)
Treat×After3	-0.0854^{^*}
	(-1.89)
Treat×After4	-0.117^{^*}
	(-1.75)
Control	Yes
N	10287
Adj. R²	0.031
Firm	Yes
Year	Yes
Industry×Year	Yes

	(1)	(2)
	Tunneling2	Tunneling3
Treat×Post	-0.0714^{^***}	-0.0693^{^***}
	(-2.83)	(-2.75)
Control	Yes	Yes
N	11592	11592
Adj. R²	0.043	0.049
Firm	Yes	Yes
Year	Yes	Yes
IndustryXYear	Yes	Yes

	(1)	(2)	(3)
	Tunneling	Tunneling	Tunneling
Top10×Treat×Post	-0.0259^{^**}
	(-2.58)
HKSCCL×Treat×Post		-0.0174^{^**}
		(-2.41)
Opaque×Treat×Post			-0.0108^{^***}
			(-2.84)
Treat×Post	-0.0265^{^***}	-0.0283^{^***}	-0.0292^{^**}
	(-4.43)	(-2.82)	(-2.57)
Top10	0.0232^{^**}
	(2.48)
HKSCCL		0.0174^{^**}
		(2.37)
Opaque			0.107^{^***}
			(3.83)
Control	Yes	Yes	Yes
N	25514	22387	15611
Adj. R²	0.117	0.114	0.089
Firm	Yes	Yes	Yes
Year	Yes	Yes	Yes
Industry×Year	Yes	Yes	Yes

	(1)	(2)	(3)	(4)
	Tunneling	Tunneling	Tunneling	Tunneling
	Big4	non-Big4	SOE	non-SOE
Treat×Post	-0.103	-0.118^{^***}	-0.128^{^***}	-0.125^{^***}
	(-1.21)	(-5.38)	(-3.22)	(-4.67)
Control	Yes	Yes	Yes	Yes
N	572	15547	5450	10097
Adj. R²	0.078	0.047	0.055	0.053
Firm	Yes	Yes	Yes	Yes
Year	Yes	Yes	Yes	Yes
Industry×Year	Yes	Yes	Yes	Yes
χ² (test for differences between groups)	25.75		4.20
p-value	0.000		0.004

vertical_align_top show_chart

more_horiz close
- image
- translate
- link
- article
- vertical_align_top
- file_download
- show_chart
- image
- translate
- link
- article

location_on

Fundação Getulio Vargas, Escola de Administração de Empresas de S.Paulo Avenida Nove de Julho, 2.029, Bela Vista, CEP: 01313-902, Telefone: +55 (11) 3799-7718 - São Paulo - SP - Brazil
E-mail: rae@fgv.br

rss_feed Acompanhe os números deste periódico no seu leitor de RSS