The Cross-Border Price Discovery and the Shanghai-Hong Kong Stock Connect
Ming-Chih Lee and
Advances in Management and Applied Economics, 2021, vol. 11, issue 3, 2
This study mainly investigates the price discovery relationship between stock and futures markets and the cross-border price discovery relationship between Chinese and Hong Kong markets after the launch Shanghai-Hong Kong Stock Connect Progress. We find that this progress increases the speed of adjustment from the long-term equilibrium in the Chinese spot and futures markets. Moreover, the price discovery process mainly happens in Hong Kongâ€™s spot and futures markets. Final, cross-border price discovery is from Hong Kong to China after this progress. JEL classification numbers: G15, G18
Keywords: Price Discovery; Shanghai-Hong Kong Stock Connect (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:spt:admaec:v:11:y:2021:i:3:f:11_3_2
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