Stock market liberalization and institutional herding: Evidence from the Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connects

被引:11
|
作者
Zhao, Yuyang [1 ]
Xiang, Cheng [2 ]
Cai, Wenwu [3 ]
机构
[1] Xi An Jiao Tong Univ, Sch Econ & Finance, Xian, Peoples R China
[2] Chongqing Univ, Sch Econ & Business Adm, Chongqing, Peoples R China
[3] Soochow Univ, Dongwu Business Sch, Suzhou, Peoples R China
基金
中国国家自然科学基金;
关键词
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.
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页数:15
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