Comparative Research on Announcement Effect of SHSCP in Shanghai and Hong Kong Stock Markets

被引：0
|
作者：
Yan, Jia-jia [1 ]
Guo, Wei [1 ]
Huang, Wen-bin [1 ]
Chen, Ya-jin [1 ]
机构：
[1] Fuzhou Univ, Sch Econ & Management, Fuzhou, Peoples R China
来源：
2016 INTERNATIONAL CONFERENCE ON BUSINESS AND MANAGEMENT (ICBM 2016) | 2016年
关键词：
SHSCP; Announcement effects; Event-Study approach;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This essay sets constituent stocks of Shanghai-Hong Kong Stock Connect Program (SHSCP) as objects. Empirical study on announcement effects from SHSCP is conducted with daily data between 21st February 2014 and 14th January 2015. The results of abnormal yield tests indicate stronger announcement effects in Hong Kong stock market comparing with Shanghai. Both volatility and Granger's causality test reveals that Hong Kong stock market was higher in volatility and more sensitive to information under the premise of co-movement between the two markets. Accordingly, this essay raises policy suggestions on the effectiveness of mainland stock market and the development of SHSCP. This study enables a deeper understanding on the comparison between the announcement effects respectively in Shanghai and Hong Kong stock markets derived from "SHSCP" (Shanghai), which builds the basis for future in-depth research in this field.
引用
收藏
页码：202 / 207
页数：6
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