Stock market liberalization;
Institutional herding;
Information cascades;
Information asymmetry;
China;
FINANCIAL LIBERALIZATION;
FOREIGN INVESTORS;
ASSET PRICES;
IMPACT;
RISK;
BEHAVIOR;
MODEL;
D O I:
10.1016/j.pacfin.2021.101643
中图分类号:
F8 [财政、金融];
学科分类号:
0202 ;
摘要:
Using the Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connects (the Connects) as exogenous shocks to the liberalization of China's A-share markets, we study the impact of stock market liberalization on the herding behavior of domestic institutional investors. We find a robust and negative impact of the Connects on the level of institutional herding in connected Chinese A-share stocks. The impact is more pronounced for firms with smaller market capitalizations, less analyst coverage, or higher stock illiquidity, i.e., firms with higher information asymmetry. Moreover, the Connects improve the transparency of connected firms by improving audit quality, decreasing earnings management, and reducing stock price synchronicity. The improvement is greater for stocks that are more intensively traded by Hong Kong investors. Finally, the Connects amplify the price impact of institutional herding without causing price reversals. Overall, our results suggest that the Connects reduce the institutional herding in connected A-share stocks by reducing information asymmetry.
机构:
Beijing Wuzi Univ, Sch Econ, Beijing, Peoples R ChinaBeijing Wuzi Univ, Sch Econ, Beijing, Peoples R China
Guo, Longfei
Wang, Ying'ao
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机构:
Beijing Wuzi Univ, Sch Econ, Beijing, Peoples R ChinaBeijing Wuzi Univ, Sch Econ, Beijing, Peoples R China
Wang, Ying'ao
Dong, Wenxiao
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机构:
Peking Univ, Inst New Struct Econ, Beijing, Peoples R China
Peking Univ, Inst New Struct Econ, Beijing 100871, Peoples R ChinaBeijing Wuzi Univ, Sch Econ, Beijing, Peoples R China
机构:
Univ Int Business & Econ, China Inst World Trade Org Studies, Beijing, Peoples R ChinaCapital Univ Econ & Business, Sch Finance, Dept Financial Engn, Beijing 100070, Peoples R China
Wang, Yu
Wang, Tewei
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机构:
Univ Illinois, Dept MIS, Coll Business & Management, Springfield, IL USACapital Univ Econ & Business, Sch Finance, Dept Financial Engn, Beijing 100070, Peoples R China
机构:
Zhejiang Univ Finance & Econ, Hangzhou, Zhejiang, Peoples R ChinaZhejiang Univ Finance & Econ, Hangzhou, Zhejiang, Peoples R China
Wang, Qiyu
Chong, Terence Tai-Leung
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机构:
Chinese Univ Hong Kong, Dept Econ, Hong Kong, Hong Kong, Peoples R China
Chinese Univ Hong Kong, Lau Chor Tak Inst Global Econ & Finance, Hong Kong, Hong Kong, Peoples R ChinaZhejiang Univ Finance & Econ, Hangzhou, Zhejiang, Peoples R China