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The Impact Of The Shanghai Hong Kong Connect On The Market Liquidity And Price Divergence
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Book Synopsis The Impact of the Shanghai-Hong Kong Connect on Market Liquidity and Price Divergence by : Michael J. Aitken
Download or read book The Impact of the Shanghai-Hong Kong Connect on Market Liquidity and Price Divergence written by Michael J. Aitken and published by . This book was released on 2017 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: The economic growth of China has seen an increase in its demand for capital, fuelling its local stock markets. This paper examines a market liberalisation event between China and Hong Kong and its impact on market liquidity and price convergence for cross-listed stocks in the two markets. On November 17, 2014, the Shanghai Stock Exchange and the Hong Kong Stock Exchange introduced the Shanghai-Hong Kong Stock Connect (SHHKConnect), a bilateral investment channel between the two markets. The new channel brings with it accesses to new capital for domestic firms and trading expertise from new foreign participants for both regions. The SHHKConnect permits mutual market access for market participants, facilitating trade in each market using existing trading infrastructure. This study adopts a difference-in-difference methodology and finds that market liquidity as proxied by transaction costs, improves in both markets, for eligible stocks that are traded through the bilateral investment channel, three-months post November 17, 2014. Over a longer event horizon of six-months, liquidity in China continues to improve, whereas in Hong Kong it decreases. In addition, reported results identify that the pre-existing price premium between cross-listed China A-shares and Hong Kong H-shares, increases following the market design change. We attribute the increase in price divergence to the incremental improvement in liquidity in China vis-à-vis Hong Kong.
Book Synopsis The Impact of the Shanghai-Hong Kong Connect on the Market Liquidity and Price Divergence by : Karen Xiaotong Wang
Download or read book The Impact of the Shanghai-Hong Kong Connect on the Market Liquidity and Price Divergence written by Karen Xiaotong Wang and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The economic growth of China has seen an increase in its demand for capital, fueling its local stock markets. This paper exams a market liberalisation event between China and Hong Kong and its impact on: (1) market liquidity and (2) price differentials between cross-listed stocks across the two markets. On November 17, 2014, the Shanghai Stock Exchange and the Hong Kong Stock Exchange introduced the much anticipated, Shanghai-Hong Kong Connect, a bilateral investment channel between the two markets. The new channel brings with it accesses to new capital for domestic firms and trading expertise from new foreign participants. The Shanghai-Hong Kong Connect permits mutual market access for market participants, allowing investors in each market to trade in the other market using existing trading infrastructure. This study adopts a difference-in-difference methodology and finds that market liquidity as proxied by transaction costs, improves in both markets, for eligible stocks that are traded through the bilateral investment channel, post November 17, 2014. This result is consistent with literature, which identifies the benefits of open and enhanced market access. In addition, reported results identify that the pre-existing price premium between cross-listed China A-shares and Hong Kong H-shares, increases following the market design change. Contrary to expectations, this result is attributed to the incremental improvement in liquidity in China for cross-listed stocks vis-à-vis Hong Kong. Overall, results in this study demonstrate that the partial liberalisation of fund flow between the two markets had a positive impact on liquidity, in particular for China's largest equity market the Shanghai Stock Exchange.
Book Synopsis The Impact of Shanghai-Hong Kong Stock Connect Policy on Price Difference and Announcement Effects by : Han-Ching Samprass huang
Download or read book The Impact of Shanghai-Hong Kong Stock Connect Policy on Price Difference and Announcement Effects written by Han-Ching Samprass huang and published by . This book was released on 2017 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the impact of “Shanghai-Hong Kong Stock Connect Policy” on price difference and announcement effects of A Shares and H Shares, using daily data from Aug., 2014 to Feb., 2015. Data were obtained from Bloomberg. To be comparable, we collect simultaneous trading data. We find that listed time and SSE 180 sample share variables have a significant effect on price difference. The price difference after Shanghai-Hong Kong Stock Connect Policy is bigger than the price difference before Shanghai-Hong Kong Stock Connect Policy. Moreover, we find that implementation of the Shanghai-Hong Kong Stock Connect Policy has announcement effects.
Book Synopsis The Impact of Shanghai-Hong Kong Stock Connect Policy on Price Difference, Announcement Effects and Market Efficiency of A Shares and H Shares by : 林娟卉
Download or read book The Impact of Shanghai-Hong Kong Stock Connect Policy on Price Difference, Announcement Effects and Market Efficiency of A Shares and H Shares written by 林娟卉 and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Quantifying the Impact of the November 2014 Shanghai-Hong Kong Stock Connect by : Richard C. K. Burdekin
Download or read book Quantifying the Impact of the November 2014 Shanghai-Hong Kong Stock Connect written by Richard C. K. Burdekin and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Hong Kong-Shanghai Connect/Hong Kong-Beijing Disconnect (?), Scaling the Great Wall of Chinese Securities Trading Costs by : Ravi Kashyap
Download or read book Hong Kong-Shanghai Connect/Hong Kong-Beijing Disconnect (?), Scaling the Great Wall of Chinese Securities Trading Costs written by Ravi Kashyap and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We utilize a fundamentally different model of trading costs to look at the effect of the opening of the Hong Kong Shanghai Connect that links the stock exchanges in the two cities, arguably the biggest event in international business and finance since Christopher Columbus set sail for India. We design a novel methodology that compensates for the lack of data on trading costs in China. We estimate trading costs across similar positions on the dual listed set of securities in Hong Kong and China, hoping to provide useful pieces of information to help scale “The Great Wall of Chinese Securities Trading Costs”. We then compare actual and estimated trading costs on a sample of real orders across the Hong Kong securities in the dual listed pair to establish the accuracy of our measurements.The primary question we seek to address is “Which market would be better to trade to gain exposure to the same (or similar) set of securities or sectors?” We find that trading costs on Shanghai, which might have been lower than Hong Kong, might have become higher leading up to the Connect. What remains to be seen is whether this increase in trading costs is a temporary equilibrium due to the frenzy to gain exposure to Chinese securities or whether this phenomenon will persist once the two markets start becoming more and more tightly coupled. It would be interesting to see if this pioneering policy will lead to securities exchanges across the globe linking up one another, creating a trade anything, anywhere and anytime marketplace. Looking beyond mere trading costs, such studies can be used to gather some evidence on what effect the mode of governance and other aspects of life in one country have on another country, once they start joining up their financial markets.
Book Synopsis The Magnet Effect of Price Limits on the Shanghai Stock Exchange and the Impact of the Shanghai - Hong Kong Connect by : Edward Curran
Download or read book The Magnet Effect of Price Limits on the Shanghai Stock Exchange and the Impact of the Shanghai - Hong Kong Connect written by Edward Curran and published by . This book was released on 2017 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests for the existence of the magnet effect linked to price limits imposed in China’s equity markets and how a market liberalization event affects trading in securities that are bound by price limits vis-à-vis those that are not. The magnet effect of price limits theorises that, instead of stabilising markets, price limits act as a magnet and their existence causes trading to accelerate towards the limits, increasing the likelihood of the limit being reached. This study provides evidence of the magnet effect in China and that the effect increases in magnitude following the opening of China’s capital markets via the Shanghai-Hong Kong Connect (SHHK Connect). The increased magnitude of the magnet effect of price limits is due to the new inflow of capital from global markets via Hong Kong, as stronger results are found for those firms that experience the largest increase in capital inflow vis-à-vis those that do not.
Book Synopsis The Influence of Shanghai-Hong Kong Stock Connect on the Mainland China and Hong Kong Stock Markets by : Yang-Chao Wang
Download or read book The Influence of Shanghai-Hong Kong Stock Connect on the Mainland China and Hong Kong Stock Markets written by Yang-Chao Wang and published by . This book was released on 2017 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: China has been intensively launching opening-up policies since November 2014. Among these policies, the Shanghai-Hong Kong Stock Connect offers international investors an approach to investing directly in Mainland China stock markets. At the same time, Mainland China capital can gain access to overseas markets via Hong Kong. This study investigates the influence of the policy by using the Vector Autoregressive and Generalized Autoregressive Conditional Heteroscedastic framework. The results show that the new policy has different impacts on the Shanghai, Shenzhen, and Hong Kong stock markets due to their distinct market features and policy restrictions. The three markets also transmit the policy effects to one another due to their close linkages. It not only indicates that Mainland China financial centers (Shanghai and Shenzhen) integrate with one of international financial centers (Hong Kong), but also symbolizes the gradually increasing strength of Chinese policy effects on global capital markets.
Book Synopsis Chinese and Global Financial Integration through Stock Connect by : Flora Huang
Download or read book Chinese and Global Financial Integration through Stock Connect written by Flora Huang and published by Bloomsbury Publishing. This book was released on 2023-10-19 with total page 281 pages. Available in PDF, EPUB and Kindle. Book excerpt: This significant and timely book explores a novel market mechanism, Stock Connect, which gives mutual market access to Chinese and international investors, and provides original analyses and fresh insights. This mechanism could become the new normal in future global financial integration. By examining this cross-border scheme from a regulatory perspective via a three-tiered analytical framework (investors, issuers and regulators), this book unearths the profound implications of Stock Connect to local and global financial markets and the legal impediments to its implementation. It covers a broad range of topics in this cross-boundary investment channel, including an overview of four existing connectivity arrangements (Shanghai-Hong Kong, Shenzhen-Hong Kong, Shanghai-London and China-Switzerland), the uniqueness of these connectivity arrangements, investor protection, regulations of connect issuers, regulatory cooperation and enforcement, the impacts on local and global financial markets, the implications for the world market connectivity as well as the challenges and future of Stock Connect. This pioneering study will appeal to a broad range of readers who are interested in the on-going reshaping of international financial systems and China's emerging influence in the international financial order.
Book Synopsis Chinese and Global Financial Integration through Stock Connect by : Flora Huang
Download or read book Chinese and Global Financial Integration through Stock Connect written by Flora Huang and published by Bloomsbury Publishing. This book was released on 2023-10-19 with total page 281 pages. Available in PDF, EPUB and Kindle. Book excerpt: This significant and timely book explores a novel market mechanism, Stock Connect, which gives mutual market access to Chinese and international investors, and provides original analyses and fresh insights. This mechanism could become the new normal in future global financial integration. By examining this cross-border scheme from a regulatory perspective via a three-tiered analytical framework (investors, issuers and regulators), this book unearths the profound implications of Stock Connect to local and global financial markets and the legal impediments to its implementation. It covers a broad range of topics in this cross-boundary investment channel, including an overview of four existing connectivity arrangements (Shanghai-Hong Kong, Shenzhen-Hong Kong, Shanghai-London and China-Switzerland), the uniqueness of these connectivity arrangements, investor protection, regulations of connect issuers, regulatory cooperation and enforcement, the impacts on local and global financial markets, the implications for the world market connectivity as well as the challenges and future of Stock Connect. This pioneering study will appeal to a broad range of readers who are interested in the on-going reshaping of international financial systems and China's emerging influence in the international financial order.
Book Synopsis Can Shanghai-Hong Kong Stock Connect Help Rationalize Shanghai Stock Market? from the Perspective of Magnet Effect by : 黃璟然
Download or read book Can Shanghai-Hong Kong Stock Connect Help Rationalize Shanghai Stock Market? from the Perspective of Magnet Effect written by 黃璟然 and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Effect of the China Connect by : Chang Ma
Download or read book The Effect of the China Connect written by Chang Ma and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We document the effect on Chinese firms of the Shanghai (Shenzhen)-Hong Kong Stock Connect. The Connect was an important capital account liberalization introduced in the mid-2010s. It created a channel for cross-border equity investments into a selected set of Chinese stocks while China's overall capital controls policy remained in place. Using a difference-in-difference approach, and with careful attention to sample selection issues, we find that mainland Chinese firm-level investment is negatively affected by contractionary U.S. monetary policy shocks and that firms in the Connect are more adversely affected than those outside of it. These effects are stronger for firms whose stock return has a higher covariance with the world market return and for firms relying more on external financing. We also find that firms in the Connect enjoy lower financing costs, invest more, and have higher profitability than unconnected firms. We discuss the implications of our results for the debate on capital controls and independence of Chinese monetary policy.
Book Synopsis The Integration of the Chinese Stock Markets Following the Shanghai-Hong Kong Stock Connect by : Sheung-Chi Chow
Download or read book The Integration of the Chinese Stock Markets Following the Shanghai-Hong Kong Stock Connect written by Sheung-Chi Chow and published by . This book was released on 2018 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the impact of the Shanghai-Hong Kong Stock Connect on the degree of financial integration between the Hong Kong stock market and the Shanghai and Shenzhen stock markets in mainland China. By applying cointegration tests and linear and nonlinear Granger causality techniques on market capitalization and market index, we find that the stock markets from mainland China are increasingly influencing the Hong Kong stock market after the introduction of the Stock Connect scheme. Following the scheme's introduction, the cointegration relationship between China and Hong Kong in terms of market capitalizations and market indices is also increasing. Moreover, Granger causality effects on market capitalizations and market indices from China remain strong, while the directional Granger cause of the two variables from Hong Kong to China has become weak or been rejected. Our study indicates that further opening of the Chinese stock markets enhances their leading roles, given that market capitalizations and market indices exhibit the highest degree of explanatory power regarding market correction toward long-run equilibrium. However with nonlinear causality test, our results indicate that Hong Kong stock market is still relevant to understand and predict China stock market after the introduction of the Stock Connect scheme.
Book Synopsis Liquidity, Information Asymmetry, Divergence of Opinion and Asset Returns by : Guangchuan Li
Download or read book Liquidity, Information Asymmetry, Divergence of Opinion and Asset Returns written by Guangchuan Li and published by . This book was released on 2008 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the independent and dominating effects of the liquidity level, the information asymmetry and the divergence of opinion on asset returns in an important emerging market, Chinese stock market. We use the variable ILLIQ from Amihud (2002) to proxy for the liquidity level, the variable PIN from Easley, Hvidkjaer, and O'Hara (2002) to proxy for the information asymmetry and the variable OBS based on Naes and Skjeltorp (2006) to proxy for the divergence of opinion. We find striking evidence that stocks with a higher liquidity level, or a lower information asymmetry, or a lower divergence of opinion, experience significantly lower excess returns. More importantly, the explanatory power of the liquidity level on asset returns may only reflect those from either the information asymmetry or the divergence of opinion. Moreover, we find no evidence on the dominating effect between the information asymmetry and the divergence of opinion when examining their impact on asset returns. These further findings verify the fact that the information asymmetry and the divergence of opinion both affect the liquidity level and meanwhile, the asymmetric information seems only partly to explain the dispersed beliefs among investors in Chinese stock market.
Book Synopsis Shanghai-Hong Kong Stock Connect to Boost Reciprocal Investment in RMB Securities by : Eiichi Sekine
Download or read book Shanghai-Hong Kong Stock Connect to Boost Reciprocal Investment in RMB Securities written by Eiichi Sekine and published by . This book was released on 2015 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: In April 2014, Chinese Premier Li Keqiang announced Shanghai-Hong Kong Stock Connect as part of China's efforts to open-up its capital markets. The arrangement linking stock exchanges makes reciprocal trading in RMB listed (cash) stocks possible from both mainland China and Hong Kong. The program may be expanded to allow Shanghai investors to trade on other exchanges besides Hong Kong, and this should create opportunities for brokerage firms.
Download or read book The Trading Crowd written by Ellen Hertz and published by Cambridge University Press. This book was released on 1998-06-18 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 1992, there was an explosion of 'stock fever' in Shanghai. 'From the moment I set foot in Shanghai until my last day there, people from all walks of life wanted to talk to me about the market', Ellen Hertz writes. Her 1998 study sets the stock market and its players in the context of Shanghai society, and it probes the dominant role played by the state, which has yielded a stock market very different from those of the West. A trained anthropologist, she explains the way in which investors and officials construct a 'moral storyline' to make sense of this great structural innovation, identifying a struggle between three groups of actors - the big investors, the little investors, and the state - to control the market.
Book Synopsis The Evolution of the Stock Market in China's Transitional Economy by : Jianxun Chen
Download or read book The Evolution of the Stock Market in China's Transitional Economy written by Jianxun Chen and published by Edward Elgar Publishing. This book was released on 2002-01-01 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'The book The Evolution of the Stock Market in China's Transitional Economy by Chien-Hsun Chen and Hui-Tzu Shih offers valuable insights into the evolution and development of the Chinese stock market. The book was written with an important mission in mind - how to develop an efficient financial system that facilitates innovation and spontaneous evolution of the society.' - Guojun Wu, Journal of Asian Business 'Chien-Hsun Chen and Hui-Tzu Shih have produced an informative and insightful study of China's stock market development. In The Evolution of the Stock Market in China's Transitional Economy, the reader will find a straightforward account of the development of China's stock markets that further clarifies the role China's capital markets will play in the country's financial future.' - Mark T. Fung, The China Business Review The establishment of the Shanghai Stock Exchange in December 1990 was a landmark in China's institutional transformation. With this in mind, the authors consider the factors relating to institutional change - such as changes in the financial system, the scale and structure of stock market, operational efficiency and the regulatory system of the stock market. During the course of its development the Chinese stock market has experienced speculation, dramatic fluctuations and violations of market regulations of frequent and diverse natures. There is therefore, urgent need for the discussion contained within this volume of best procedure policies for the establishment of a properly ordered and regulated market. The authors assess the operational performance of listed companies, and changes in the external environment such as the impact of China's accession to the WTO on the stock market. The authors find that WTO accession will have a more serious impact on the more heavily protected agricultural sector and on capital-intensive industries such as automobile, instruments, cotton and wheat to name a few. They argue that the fundamental reason for the inefficiency of China's stock market is the weakness of the competitive mechanism leading to imperfect competition and rent-seeking activity. This book will be of great interest to academics and researchers of Asian studies and money and finance. Multinational enterprise managers, as well as brokers, dealers, business economists and others involved in the global financial markets will also find this book of value.
