| Shanghai-Hong Kong Stock Connect is also known as the "Shanghai-Hong Kong Stock Market Trading Interoperability Pilot Project," which includes two parts: "Shanghai Stock Exchange" and "Hong Kong Stock Connect." It is the first step in our country's interconnection policy.“Shanghai Stock Connect” means that Hong Kong investors can invest in the A-share market by purchasing the Shanghai Stock Exchange's shares;and “Hong Kong Stock Connect” means that mainland A-share investors can invest by purchasing shares of the Hong Kong Stock Exchange.In the Hong Kong stock market,Hong Kong stocks are now in a slow-moving market.The Shanghai-Hong Kong Stock Connect policy is conducive to the inflow of mainland funds into the Hong Kong stock market and improve the efficiency of the financial market.Shanghai-Hong Kong Stock Connect policy has,to a certain extent,achieved the interconnection of Shanghai and Hong Kong stock markets.However,at the outset,there are relatively strict trading restrictions,mainly to prevent risks.One important issue we are concerned about is whether the "Shanghai-Hong Kong Stock Connect" will narrow the spread of the AH stock price.After the implementation of the policy,we observed that the AH stock price difference did not show a significant narrowing.The reason is that there is no “two-way convertible mechanism” for the Shanghai-Hong Kong Stock Connect,which means investors cannot directly share the same company but in two.There is no possibility of arbitrage across market spreads when the stock market is free to trade.This paper empirically proves that the implementation of the Shanghai-Hong Kong Stock Connect policy is beneficial to the narrowing of the AH stock price difference after excluding the fluctuations in the stock markets of the two places.At the same time,we divide the causes of the AH stock price difference into the “announcement effect” and the “funds”.Flow effect." In addition,this article discussed the characteristics of the company after the "Shanghai-Hong Kong Stock Connect" opened AH stock price difference appeared more significantly narrowed,proving that the fundamental investors in the "Shanghai-Hong Kong Stock Connect" can achieve "fundamental arbitrage."... |
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