The Impact of Shanghai-Hong Kong Stock Connect Policy on Price Difference and Announcement Effects

Global Journal of Business Research, v. 10 (3) p. 1-7

8 Pages Posted: 23 Feb 2017

See all articles by Han-Ching Samprass huang

Han-Ching Samprass huang

Chung Yuan Christian University

Jyuan-Huei Lin

Chung Yuan Christian University

Date Written: 2016

Abstract

This paper investigates the impact of “Shanghai-Hong Kong Stock Connect Policy” on price difference and announcement effects of A Shares and H Shares, using daily data from Aug., 2014 to Feb., 2015. Data were obtained from Bloomberg. To be comparable, we collect simultaneous trading data. We find that listed time and SSE 180 sample share variables have a significant effect on price difference. The price difference after Shanghai-Hong Kong Stock Connect Policy is bigger than the price difference before Shanghai-Hong Kong Stock Connect Policy. Moreover, we find that implementation of the Shanghai-Hong Kong Stock Connect Policy has announcement effects.

Keywords: Price Difference, Announcement Effects, Shanghai-Hong Kong Stock Connect Policy

JEL Classification: G14, G34

Suggested Citation

huang, Han-Ching Samprass and Lin, Jyuan-Huei, The Impact of Shanghai-Hong Kong Stock Connect Policy on Price Difference and Announcement Effects (2016). Global Journal of Business Research, v. 10 (3) p. 1-7, Available at SSRN: https://ssrn.com/abstract=2909974

Han-Ching Samprass Huang (Contact Author)

Chung Yuan Christian University ( email )

22 Pu-Jen, Pu-chung Li
Chung-Li, 32023
Taiwan

Jyuan-Huei Lin

Chung Yuan Christian University ( email )

22 Pu-Jen, Pu-chung Li
Chung-Li, 32023
Taiwan

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
174
Abstract Views
908
Rank
311,080
PlumX Metrics