Proceedings of the International Conference on Arts, Humanity and Economics, Management (ICAHEM 2019)

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

Authors
Yanliang Zhang, Qingchao Bai, Leya Zhang
Corresponding Author
Yanliang Zhang
Available Online 1 April 2020.
DOI
https://doi.org/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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Volume Title
Proceedings of the International Conference on Arts, Humanity and Economics, Management (ICAHEM 2019)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
1 April 2020
ISBN
978-94-6252-945-8
ISSN
2352-5398
DOI
https://doi.org/10.2991/assehr.k.200328.018How to use a DOI?
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/).

Cite this article

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  - https://doi.org/10.2991/assehr.k.200328.018
ID  - Zhang2020
ER  -