基于“沪港通”的沪港股市有效性检验

Test of the Market Efficiency of HKSM and SHSM Based on Shanghai-Hong Kong Stock Connect

运用事件研究法,通过选取所有同时在沪港两市上市的AH股作为研究样本,以沪港通的正式开通为事件日,获取相关交易日数据来展开研究,借此来探讨沪港股票市场的有效性,为我国相关部门和投资者提出建议。

By using event study method, selecting all of the AH shares listed in Shanghai and Hong Kong as the research sample,and the official opening of Shanghai-Hong Kong Stock Connect as the event day, this paper gets relevant trading day data to discuss the effectiveness of HKSM and SHSM, so as to put forward some proposals for our country.