Research on the Influence of Shanghai-Hong Kong Stock Connect on the Degree and Speed of Underlying Stock Information Response
- https://doi.org/10.2991/assehr.k.200328.018How to use a DOI?
- Shanghai-Hong Kong Stock Connect, information response degree, information response speed
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.
- © 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 -