The Impact of Shanghai-Hong Kong Stock Connect on the Effectiveness of Price Limits in the Chinese Stock Market

Terence Tai Leung Chong and Stanley Kwok

MPRA Paper from University Library of Munich, Germany

Abstract: Launched in 2014, the Shanghai-Hong Kong Stock Connect (SHSC) is the first mutual access channel between the Chinese and Hong Kong equity markets. The scheme allows Hong Kong and international investors to purchase eligible Shanghai-listed shares, while at the same time permitting eligible Chinese investors to purchase eligible Hong Kong-listed shares. This paper aims to examine the impact of the scheme on the effectiveness of the price limit rule, which is only imposed in China but not in Hong Kong. Results show that the scheme alleviates the delayed price discovery problem caused by price limits but has no significant effect on the problems of volatility spillover and trading interference.

Keywords: Stock Connect; Price Limits; Price Discovery (search for similar items in EconPapers)
JEL-codes: G14 G15 G18 (search for similar items in EconPapers)
Date: 2019-02-14
New Economics Papers: this item is included in nep-fmk, nep-mst and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/92185/1/MPRA_paper_92185.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:92185

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().