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The Cross-Border Price Discovery and the Shanghai-Hong Kong Stock Connect

Chun-I Lin, Kuan-Yi Chiang, Ming-Chih Lee and Yen-Hsien Lee

Advances in Management and Applied Economics, 2021, vol. 11, issue 3, 2

Abstract: 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 Kong’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)
Date: 2021
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