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Shanghai-Hong Kong Stock Exchange Connect Program: A story of two markets and different groups of stocks

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  • Wang, Weishen

Abstract

The Shanghai-Hong Kong Stock Connect Program connects the Shanghai Stock Exchange and the Hong Kong Stock Exchange by allowing investors in each market to trade authorized shares on the other market, using their local brokers and clearing houses. We study the differential impact of the program on different groups of stocks on both the Shanghai and Hong Kong Stock Exchange: Shanghai A-shares with/without a corresponding H-share, H-shares and non-H Hong Kong shares. The study provides insights into why the prices for A-shares and corresponding H-shares do not converge after the program. It provides some evidence supporting Merton’s (1987) investor base prediction in the Chinese stock market and supports the informational advantage argument for investors when they invest in a new market.

Suggested Citation

  • Wang, Weishen, 2020. "Shanghai-Hong Kong Stock Exchange Connect Program: A story of two markets and different groups of stocks," Journal of Multinational Financial Management, Elsevier, vol. 55(C).
    • Handle: RePEc:eee:mulfin:v:55:y:2020:i:c:s1042444x20300190
    DOI: 10.1016/j.mulfin.2020.100630
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    References listed on IDEAS

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    Cited by:

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    More about this item

    Keywords

    Shanghai-Hong Kong Stock Connect Program; Stock markets; Price impact; A-share premium; H-share discount;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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