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Shanghai-Hong Kong stock connect: an analysis of Chinese partial stock market liberalization impact on the local and foreign markets

Bai, Ye; Yan Pang Chow, Darien

Authors

Ye Bai

Darien Yan Pang Chow darienchow@gmail.com



Abstract

Shanghai-Hong Kong Stock Connect is a partial liberalization providing domestic and foreign investors mutual access to stock markets. This study analyzes post-liberalization short- and medium-term impacts on both local and foreign markets. Our results suggest that contrasting to the expectation of homogeneous mutual benefits, the implementation of the Connect have asymmetric impacts on mainland and Hong Kong stock markets. They are driven by the unbalanced developments of both markets. In the medium-term, we find increasing market liquidity and size but also increasing risk persistence and exposure to systematic risk, though the magnitude of changes vary between two markets.

Citation

Bai, Y., & Yan Pang Chow, D. (in press). Shanghai-Hong Kong stock connect: an analysis of Chinese partial stock market liberalization impact on the local and foreign markets. Journal of International Financial Markets, Institutions and Money, 50, https://doi.org/10.1016/j.intfin.2017.09.006

Journal Article Type Article
Acceptance Date Sep 12, 2017
Online Publication Date Sep 14, 2017
Deposit Date Sep 20, 2017
Publicly Available Date Sep 15, 2018
Journal Journal of International Financial Markets, Institutions and Money
Print ISSN 1042-4431
Electronic ISSN 1042-4431
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 50
DOI https://doi.org/10.1016/j.intfin.2017.09.006
Keywords Shanghai-Hong Kong Stock Connection; Stock market liberalization; Event study
Public URL http://eprints.nottingham.ac.uk/id/eprint/46541
Publisher URL https://doi.org/10.1016/j.intfin.2017.09.006
Copyright Statement Copyright information regarding this work can be found at the following address: http://creativecommons.org/licenses/by-nc-nd/4.0

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Copyright Statement
Copyright information regarding this work can be found at the following address: http://creativecommons.org/licenses/by-nc-nd/4.0





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