Does stock market liberalization reduce stock price synchronicity? —Evidence from the Shanghai-Hong Kong Stock Connect

Qinyang Li, Xiangqiang Liu, Jing Chen and Huaixin Wang

International Review of Economics & Finance, 2022, vol. 77, issue C, 25-38

Abstract: Using a recent reform policy of stock market liberalization in China, the Shanghai-Hong Kong Stock Connect(SHSC), as a quasi-natural experiment, we investigate the effect of stock market liberalization on stock price synchronicity. The difference-in-difference analysis suggests that the implementation of the SHSC significantly reduces stock price synchronicity of eligible firms listed in the Shanghai Stock Exchange, and this effect mainly exists in listed firms with a lower degree of openness. Furthermore, we document that the SHSC promotes information transparency and voluntary disclosure frequency. At last, we find that the SHSC does not affect stock price synchronicity of eligible firms listed in the Hong Kong Stock Exchange.

Keywords: Stock market liberalization; Stock price synchronicity; Shanghai-Hong Kong Stock Connect; Information efficiency (search for similar items in EconPapers)
JEL-codes: G14 G28 G31 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:77:y:2022:i:c:p:25-38

DOI: 10.1016/j.iref.2021.09.004

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