The influence of Shanghai-Shenzhen-Hong Kong Stock Connect Program on the flow of information on Cross-listed AH shares
- DOI
- 10.2991/ichssr-19.2019.57How to use a DOI?
- Keywords
- Information flow, Co-listing, Shanghai-Shenzhen-Hong Kong Stock Connect Program.
- Abstract
Cross-listed AH shares have a lot of research significance as a special financial asset. At the same time, the opening of Shanghai-Shenzhen-Hong Kong Stock Connect Program has influenced the information transmission effect of cross-listed AH shares. This article starts from the perspective of cross-listed stock information transmission between the two places. And screens out 65 cross-listed companies as constituent stock of a self-made index. Using VAR model to compare the flow of information between the self-made A-share index and self-made H-share index before the opening of Shanghai-Hong Kong Stock Connect Program and the first half of 2018. The results show that compared with the opening of the Shanghai-Hong Kong Stock Connect Program, the information transmission relationship between the AH shares of the cross-listed companies has changed from a one-way transmission structure from the China to the Hong Kong stock market into a two-way transmission structure. Under the background of the implementation of Shenzhen-Hong Kong Stock Connect Program and Hong Kong Stock Connect Program expansion, the relationship between A-shares and H-shares of cross-listed companies has strengthened, and there is a two-way spillover effect.
- Copyright
- © 2019, 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/).
Cite this article
TY - CONF AU - Zi Li PY - 2019/05 DA - 2019/05 TI - The influence of Shanghai-Shenzhen-Hong Kong Stock Connect Program on the flow of information on Cross-listed AH shares BT - Proceedings of the 2019 5th International Conference on Humanities and Social Science Research (ICHSSR 2019) PB - Atlantis Press SP - 307 EP - 310 SN - 2352-5398 UR - https://doi.org/10.2991/ichssr-19.2019.57 DO - 10.2991/ichssr-19.2019.57 ID - Li2019/05 ER -