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| Stock Market Liberalization and Idiosyncratic Return VolatilityEvidence from “Shanghai – Hong Kong Stock Connect” Scheme |
| ZHONG Kai, SUN Changling, WANG Yongyan, WANG Huacheng
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Business School, University of International Business and Economics;
Business School,Renmin University of China |
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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.
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Received: 04 January 2018
Published: 01 November 2018
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