Does Shanghai-Hong Kong Stock Connect Program Improve The Stock Price Informativeness

Stock price informativeness is the size of the company’s level information contained in the stock price.The higher the amount of the company’s level information contained in the stock price.the more the stock price close to the actual value of the company’s stock,the more the market can effectively guide the optimal allocation of resources(Tobin,1982). Stock price informativeness is an important indicator to measure the operating efficiency of the securities market.In recent years,much more attention is concentrated on the stock price informativeness.In China’s stock market,the stock price synchronization is strong now. "Collaborate rise and fall"is quite serious now. Accord ing to Morck,Yeung and Yu’s research in 2000 showed that compared with the rest of the world’s 40 major economies,China’s stock price informativeness ranked second to last,just be better than Poland.This phenomenon can seriously affect resource allocation efficiency of capital markets.It can also be against the benefit of the small investors.Under the current legal system,enhancing the information transparency of listed companies is a necessary requirement to improve the stock price informativeness.The media is a important force of external regulatory role of the stock.and the impact of media to transpanrency of listed companies information is increasingly strengthened.April 10.2014,China Securities Regulatory Commission officially approved by the Hong Kong and Shanghai stock market transactions interconnection mechanism (hereinafter referred to as the "Shanghai-Hong Kong Stock Connect"). Shanghai-Hong Kong Stock Connect was opened officially in November 17,2014.Shanghai-Hong Kong Stock Connect adds a new vitality.lt also gives a new opportunity to improve the efficiency of China’s stock market.This paper attempt to study the change of the stock price informativeness of Shanghai and Hong Kong market before and after the launching of Shanghai-Hong Kong Stock Connect.This paper use empirical research method and build model.Under the panel data regression.the paper analysis whether the media coverage influence the stock price informativeness before and after the launching of Shanghai-Hong Kong Stock Connect.The paper use robustness test to valid the model.Finally the paper draw the conclusion.As an opening policy, Shanghai-Hong Kong Stock Connect significantly enhance the Shanghai and Hong Kong market’s stock price informativeness.After the launching of Shanghai-Hong Kong Stock Connect.the number of media reports and stock price informativeness are significantly positive related. According to the conclusions of empirical research, the fifth chapter puts forward relevant policy recommendations.