Quantifying the Impact of the November 2014 Shanghai-Hong Kong Stock Connect

22 Pages Posted: 30 May 2017

See all articles by Richard C. K. Burdekin

Richard C. K. Burdekin

Claremont McKenna College - Robert Day School of Economics and Finance

Pierre L. Siklos

Wilfrid Laurier University - School of Business & Economics; Balsillie school of international affairs

Multiple version iconThere are 3 versions of this paper

Date Written: May 2017

Abstract

The November 2014 Shanghai-Hong Kong Stock Connect represented an important step in China’s capital account liberalization, allowing relatively free movement of investor funds between the two markets for the first time. We offer an initial quantification of the effects of the new program, examining Northbound and Southbound flows of funds over the first two years of the program. While controlling for other sentiment and liquidity effects, we test how these flows may have affected the extent of the premium seen for local A-share listings in Shanghai relative to the prices accruing to the same companies in Hong Kong market trading.

Keywords: Capital account liberalization; Stock returns; Sentiment; Shanghai; Hong Kong

JEL Classification: G15

Suggested Citation

Burdekin, Richard C. K. and Siklos, Pierre L., Quantifying the Impact of the November 2014 Shanghai-Hong Kong Stock Connect (May 2017). Claremont McKenna College Robert Day School of Economics and Finance Research Paper No. 2977639. Available at SSRN: https://ssrn.com/abstract=2977639 or http://dx.doi.org/10.2139/ssrn.2977639

Richard C. K. Burdekin (Contact Author)

Claremont McKenna College - Robert Day School of Economics and Finance ( email )

500 E. Ninth Street
Claremont, CA 91711
United States

Pierre L. Siklos

Wilfrid Laurier University - School of Business & Economics ( email )

Department of Economics
75 University Avenue W.
Waterloo, Ontario N2L 3C5
Canada
519-884-0710 Ext.. 3491 (Phone)

HOME PAGE: http://pierrelsiklos.com

Balsillie school of international affairs ( email )

67 Erb Street West
Waterloo, ON N2L 6C2
Canada

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