Disruption and stock markets: Evidence from Hong Kong

Siddharth M. Bhambhwani

International Review of Financial Analysis, 2022, vol. 81, issue C

Abstract: We examine the impact of disruption on stock markets using the 2019 Hong Kong protests for identification. We find that greater protest intensity corresponds to higher bid–ask spreads, lower trading volume, and greater return volatility for dual-listed Chinese firms’ Hong Kong (H) shares but not their home (A) shares. We also document negative abnormal returns only for these firms’ H-shares around major protest events, which shortly after exhibit reversal. Next, we validate our main findings by documenting similar results using Hong Kong-listed firms only. Overall, we provide new evidence highlighting the impact of protest-induced disruption on financial markets.

Keywords: China; A-shares; H-shares; HKEX; SSE; SZSE; East Asia; Protests (search for similar items in EconPapers)
JEL-codes: E44 F3 G15 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000771

DOI: 10.1016/j.irfa.2022.102109

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