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

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: 1873-0612
• 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: https://nottingham-repository.worktribe.com/output/882865
• Publisher URL: https://doi.org/10.1016/j.intfin.2017.09.006
• Contract Date: Sep 20, 2017