Research on the Influence of Shanghai-Hong Kong Stock Connect on the Degree and Speed of Underlying Stock Information Response

DOI

10.2991/assehr.k.200328.018How to use a DOI?

Keywords

Shanghai-Hong Kong Stock Connect, information response degree, information response speed

Abstract

In order to study the impact of Shanghai-Hong Kong Stock Connect on the degree and speed of underlying stock information response, the information content index and the price adjustment delay of the price calculation based on the stock price synchronization are used as the measure of the degree and speed of the stock market information response in this paper. Select the SSE stock market stock day trading data before and after the implementation of the policy as a sample. This article uses the method of propensity score matching (PSM) and the difference-in-difference model (DID) to perform the empirical analysis. The results show that the launch of Shanghai-Hong Kong Stock Connect has a certain positive effect on the degree and speed of the underlying stock information response. Finally, based on the empirical conclusions, suggestions are made on how to promote the opening up of the securities market.

Copyright

© 2020, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Yanliang Zhang
AU  - Qingchao Bai
AU  - Leya Zhang
PY  - 2020
DA  - 2020/04/01
TI  - Research on the Influence of Shanghai-Hong Kong Stock Connect on the Degree and Speed of Underlying Stock Information Response
BT  - Proceedings of the International Conference on Arts, Humanity and Economics, Management (ICAHEM 2019)
PB  - Atlantis Press
SP  - 85
EP  - 90
SN  - 2352-5398
UR  - https://doi.org/10.2991/assehr.k.200328.018
DO  - 10.2991/assehr.k.200328.018
ID  - Zhang2020
ER  -