Abstract:
This paper investigates the impact of “Shanghai – Hong Kong Stock Connect” scheme on idiosyncratic return volatility. We find that the implementation of the scheme could significantly reduce the idiosyncratic return volatility of target stocks with the difference-in-difference (DID) model. Further studies show that the above effect is more pronounced for stocks with “the top ten active trading stocks” and information quality is improved after the scheme. Our study implies that the “Shanghai – Hong Kong Stock Connect” scheme plays an important role in improving capital market stability and contributes to the implementation of “Shenzhen – Hong Kong Stock Connect” scheme.
钟凯, 孙昌玲, 王永妍, 王化成. 资本市场对外开放与股价异质性波动——来自“沪港通”的经验证据[J]. 金融研究, 2018, 457(7): 174-192.
ZHONG Kai, SUN Changling, WANG Yongyan, WANG Huacheng. Stock Market Liberalization and Idiosyncratic Return VolatilityEvidence from “Shanghai – Hong Kong Stock Connect” Scheme. Journal of Financial Research, 2018, 457(7): 174-192.
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