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

Bai, Ye and Yan Pang Chow, Darien (2017) 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 . ISSN 1042-4431 (In Press)

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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.

Item Type: Article
Keywords: Shanghai-Hong Kong Stock Connection; Stock market liberalization; Event study
Schools/Departments: University of Nottingham, UK > Faculty of Social Sciences > Nottingham University Business School
Identification Number: 10.1016/j.intfin.2017.09.006
Depositing User: Eprints, Support
Date Deposited: 20 Sep 2017 08:28
Last Modified: 13 Oct 2017 17:56
URI: http://eprints.nottingham.ac.uk/id/eprint/46541

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