Using a recent stock market liberalization reform policy in China—the Stock Connect—as a quasi-natural experiment,this study examines the effect of stock market liberalization on market efficiency.Employing a datase...Using a recent stock market liberalization reform policy in China—the Stock Connect—as a quasi-natural experiment,this study examines the effect of stock market liberalization on market efficiency.Employing a dataset of 17,086 Chinese listed firms covering 2009 to 2018,we find that stock market liberalization improves the market efficiency of the Chinese mainland stock market.We further explore the potential channels through which the Stock Connect can enhance the efficiency of the A-share(A-shares refer to shares issued by Chinese companies incorporated in China's Mainland,traded in the Shanghai Stock Exchange and the Shenzhen Stock Exchange.They are denominated in Chinese RMB(the local currency).A-shares were restricted to local Chinese investors before 2003,are open to foreign investors via the Qualified Foreign Institutional Investor,RMB Qualified Foreign Institutional Investor,or the Stock Connect programs.)market.The findings show that liberalizing capital markets could benefit local market efficiency by increasing stock price informational efficiency and improving corporate governance quality.The additional analysis shows that stock market liberalization has a significant and positive impact on local market efficiency,enhancing firm value and reducing stock crash risk.We conduct various robustness checks to corroborate our findings.This study provides important policy implications for emerging countries liberalizing capital markets for foreign investors.展开更多
Shanghai-Hong Kong Stock Connect Program,which is a new starting point for the opening up of the mainland capital market,still has many uncertainties.Research on the benefits and market volatility of such policies can...Shanghai-Hong Kong Stock Connect Program,which is a new starting point for the opening up of the mainland capital market,still has many uncertainties.Research on the benefits and market volatility of such policies can provide investors with time to invest in such policies,fluctuations in the underlying stocks of the Chinese stock market,and decision support for the formulation and revision of relevant policies.This paper studies whether there is significant abnormal rate of return in the selected stocks which are in the Shanghai Stock Connect Program within the specified period,the excess return gap between the stocks which are in the program and which are not in the program,and the impact of the Shanghai Stock Connect Program on the volatility of the relevant stocks.Based on the CAPM model and the Fama-French 3-factor model,this paper uses t test to study the significance of the abnormal rate of return.By establishing a difference-in-difference(DID)model,the regression of the abnormal rate of return is tested,and the sample volatility is analyzed according to the influence of the fund transaction.The study found that the stocks in the program have significant abnormal rate of returns during the window period.The Shanghai Stock Connect has brought about a huge change in transaction amount,and policy makers need to improve related and similar policies.展开更多
Using minute data of eligible A+H stocks under the Shanghai-Hong Kong Stock Connect(SHHKSC),we investigate the volatility spillover between the Shanghai and Hong Kong stock markets based on a generalized autoregressiv...Using minute data of eligible A+H stocks under the Shanghai-Hong Kong Stock Connect(SHHKSC),we investigate the volatility spillover between the Shanghai and Hong Kong stock markets based on a generalized autoregressive conditional heteroskedasticity-X(GARCH-X)model with four exogenous variables,namely,volatilities of the corresponding stocks on the other market,volatilities of the indexes of both stock markets,and volatilities of the correlated stocks,which are selected using the dynamic conditional correlation model and bootstrap approach.Results show that after the launch of the SHHKSC,volatility spillovers are significant in both directions almost all the time,and the volatility spillover between the two stock markets tends to be larger when bidirectional capital flows under the SHHKSC increase or when important financial events occur.We also analyze the influences of the volatilities of correlated stocks and industries on the volatility spillover and volatilities of A+H stocks.The bidirectional volatility spillovers between Shanghai and Hong Kong stock markets do not change qualitatively after incorporating the volatilities of correlated stocks and industries in the GARCH-X model.Moreover,the average volatilities of the correlated stocks are shown to have significant influences on the volatilities of individual A+H stocks,and the influences increase when the local stock market shows a sharp rise or fall.Compared with the market indexes,the correlated stocks could be regarded as a more important and indispensable factor for individual A+H stocks’volatilities modeling,which may carry more information than the industry.展开更多
基金funded by the China Scholarship Council(CSC Grant No.202108360133)the Social Science Foundation of Jiangxi Province(No.22GL13&22GL43)the Science and Technology Research Project of Jiangxi Province Education Department(No.GJJ210537).
文摘Using a recent stock market liberalization reform policy in China—the Stock Connect—as a quasi-natural experiment,this study examines the effect of stock market liberalization on market efficiency.Employing a dataset of 17,086 Chinese listed firms covering 2009 to 2018,we find that stock market liberalization improves the market efficiency of the Chinese mainland stock market.We further explore the potential channels through which the Stock Connect can enhance the efficiency of the A-share(A-shares refer to shares issued by Chinese companies incorporated in China's Mainland,traded in the Shanghai Stock Exchange and the Shenzhen Stock Exchange.They are denominated in Chinese RMB(the local currency).A-shares were restricted to local Chinese investors before 2003,are open to foreign investors via the Qualified Foreign Institutional Investor,RMB Qualified Foreign Institutional Investor,or the Stock Connect programs.)market.The findings show that liberalizing capital markets could benefit local market efficiency by increasing stock price informational efficiency and improving corporate governance quality.The additional analysis shows that stock market liberalization has a significant and positive impact on local market efficiency,enhancing firm value and reducing stock crash risk.We conduct various robustness checks to corroborate our findings.This study provides important policy implications for emerging countries liberalizing capital markets for foreign investors.
文摘Shanghai-Hong Kong Stock Connect Program,which is a new starting point for the opening up of the mainland capital market,still has many uncertainties.Research on the benefits and market volatility of such policies can provide investors with time to invest in such policies,fluctuations in the underlying stocks of the Chinese stock market,and decision support for the formulation and revision of relevant policies.This paper studies whether there is significant abnormal rate of return in the selected stocks which are in the Shanghai Stock Connect Program within the specified period,the excess return gap between the stocks which are in the program and which are not in the program,and the impact of the Shanghai Stock Connect Program on the volatility of the relevant stocks.Based on the CAPM model and the Fama-French 3-factor model,this paper uses t test to study the significance of the abnormal rate of return.By establishing a difference-in-difference(DID)model,the regression of the abnormal rate of return is tested,and the sample volatility is analyzed according to the influence of the fund transaction.The study found that the stocks in the program have significant abnormal rate of returns during the window period.The Shanghai Stock Connect has brought about a huge change in transaction amount,and policy makers need to improve related and similar policies.
基金supported by the National Natural Science Foundation(Nos.10905023,71131007,71532009 and 71790594)Humanities and Social Sciences Fund sponsored by Ministry of Education of the People’s Republic of China(No.17YJAZH067)the Fundamental Research Funds for the Central Universities(2015).
文摘Using minute data of eligible A+H stocks under the Shanghai-Hong Kong Stock Connect(SHHKSC),we investigate the volatility spillover between the Shanghai and Hong Kong stock markets based on a generalized autoregressive conditional heteroskedasticity-X(GARCH-X)model with four exogenous variables,namely,volatilities of the corresponding stocks on the other market,volatilities of the indexes of both stock markets,and volatilities of the correlated stocks,which are selected using the dynamic conditional correlation model and bootstrap approach.Results show that after the launch of the SHHKSC,volatility spillovers are significant in both directions almost all the time,and the volatility spillover between the two stock markets tends to be larger when bidirectional capital flows under the SHHKSC increase or when important financial events occur.We also analyze the influences of the volatilities of correlated stocks and industries on the volatility spillover and volatilities of A+H stocks.The bidirectional volatility spillovers between Shanghai and Hong Kong stock markets do not change qualitatively after incorporating the volatilities of correlated stocks and industries in the GARCH-X model.Moreover,the average volatilities of the correlated stocks are shown to have significant influences on the volatilities of individual A+H stocks,and the influences increase when the local stock market shows a sharp rise or fall.Compared with the market indexes,the correlated stocks could be regarded as a more important and indispensable factor for individual A+H stocks’volatilities modeling,which may carry more information than the industry.
