THE IMPACT OF SHANGHAI-HONG KONG STOCK CONNECT POLICY ON PRICE DIFFERENCE AND ANNOUNCEMENT EFFECTS

Han-Ching Huang and Jyuan-Huei Lin

Global Journal of Business Research, 2016, vol. 10, issue 3, 1-7

Abstract: This paper investigates the impact of Shanghai-Hong Kong Stock Connect Policy on price difference and announcement effects of A Shares and H Shares, using daily data from Aug., 2014 to Feb., 2015. Data were obtained from Bloomberg. To be comparable, we collect simultaneous trading data. We find that listed time and SSE 180 sample share variables have a significant effect on price difference. The price difference after Shanghai-Hong Kong Stock Connect Policy is bigger than the price difference before Shanghai-Hong Kong Stock Connect Policy. Moreover, we find that implementation of the Shanghai-Hong Kong Stock Connect Policy has announcement effects

Keywords: Price Difference; Announcement Effects; Shanghai-Hong Kong Stock Connect Policy (search for similar items in EconPapers)
JEL-codes: G14 G34 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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