期刊
EMERGING MARKETS FINANCE AND TRADE
卷 54, 期 13, 页码 2909-2924出版社
ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
DOI: 10.1080/1540496X.2017.1410128
关键词
A-shares and H-shares; cross-listing; dynamic integration; QDII; Shanghai-Hong Kong Stock Connect
资金
- National Natural Science Foundation of China [71790601]
- National Social Science Foundation of China [15CTJ010]
- Fundamental Research Funds for the Central Universities [20720151042]
- Project of Social Science - Education Department of Fujian Province [JAS160024]
- Fundamental Research Funds for the Central Universities
This study examines the dynamics and underlying determinants of integration based on cross-listed Chinese A-shares and Hong Kong H-shares from January 1996 to December 2016. We focus mainly on three liberalization reforms: the qualified foreign institutional investors (QFII) policy, the qualified domestic institutional investors (QDII) policy, and the Shanghai-Hong Kong Stock Connect program. Our results show that the QDII policy has significantly increased the integration between the Mainland China and Hong Kong stock markets, although the extent to which any stock has been affected is partly dependent upon certain firm-specific characteristics, including liquidity, market value, and volatility. However, we do not document the similar effect of the QFII policy and the Shanghai-Hong Kong Stock Connect program on the integration dynamics.
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