Download or read book The Impact on A H Dual Listed Stocks from Implementation of the Shenzen Hong Kong Stock Connect written by Yucheng Yang and published by . This book was released on 2017 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study found that the correlation between the Shenzhen index, Shenzhen 100 index and Hang Seng index has decreased since the implementation of the Shenzhen Connect. Moreover, there is a decreased correlation for the 16 dual-listed stocks between Shenzhen and Hong Kong. It is possible that the high valuation of Shenzhen stocks compared to Hong Kong stocks is the main reason. This study used 16 dual-listed stocks in the Shenzhen Market with a two-year sample period from 1 January 2016 to 31 December 2017 as the sample to test the impact of the implementation of the Shenzhen Connect on price gap changes of these dual-listed stocks. Moreover, this study looks at the impact of interest rate changes in China and the US on the price gap of dual-listed stocks. This study found that the price gap was enlarged after the implementation of the Shenzhen Connect. The potential explanation includes different investment preferences between Chinese investors and Hong Kong investors. However, the results for the Shenzhen Connect does not appear to be robust to an alternate definition of the price gap variables. The study found Chinese investors are insensitive to interest rate changes in China. Moreover, an increase in the US interest rate will increase the price gap of dual-listed stocks since capital flow back to the US from Hong Kong detriments the Hong Kong stock market. At the same time, the interest rate difference between the US and China positively affects the price gap of dual-listed stocks. The positive coefficient might suggest a combination of the insensitivity of interest rate changes of Chinese investors and capital outflow from Hong Kong to the US. This study also examined liquidity preference hypothesis, asymmetric information hypothesis, demand elasticity hypothesis and risks preference hypothesis. Consistent results are found with other literature.

Download or read book The Impact of Shanghai Hong Kong Stock Connect Policy on Price Difference and Announcement Effects written by Han-Ching Samprass huang and published by . This book was released on 2017 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the impact of “Shanghai-Hong Kong Stock Connect Policy” on price difference and announcement effects of A Shares and H Shares, using daily data from Aug., 2014 to Feb., 2015. Data were obtained from Bloomberg. To be comparable, we collect simultaneous trading data. We find that listed time and SSE 180 sample share variables have a significant effect on price difference. The price difference after Shanghai-Hong Kong Stock Connect Policy is bigger than the price difference before Shanghai-Hong Kong Stock Connect Policy. Moreover, we find that implementation of the Shanghai-Hong Kong Stock Connect Policy has announcement effects.

Download or read book Chinese Dual Class Shares Listed in Hong Kong and Mainland China written by Patrick Müller and published by diplom.de. This book was released on 2008-02-21 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inhaltsangabe:Abstract: This paper aims at explaining the phenomenon of price anomalies between dual-class shares of companies located in mainland China (hereafter China). A-shares listed on either the Shanghai Stock Exchange (SHSE) or Shenzhen Stock Exchange (SZSE) command a premium over the price of the corresponding firm s H-shares traded at the Stock Exchange of Hong Kong (HKSE). This pricing puzzle arises from the segmentation of Chinese equity markets H-shares may be exclusively acquired by Hong Kong residents and international investors whereas A-shares are restricted to mainland Chinese investors. Although both classes of stock are entitled to the same future cash flows, investors are only willing to buy H-shares at a price significantly lower than that of A-shares. This unique setup offers the opportunity to test competing theories about the effects of market segmentation on asset pricing and to examine the factors that induce the price gap between cross-listed shares on different stock exchanges. Knowledge of the variables determining the price spread between H- and A-shares can make valuable contributions in a number of ways. Firstly, companies in mainland China pursuing initial public offerings (IPO) or seasoned equity offerings (SEO) may base their financing decision on a more thorough understanding of the parameters affecting stock prices of cross-listings in the respective markets. Secondly, policymakers in emerging country stock markets may draw conclusions concerning the design of foreign ownership regulation and investment restraints imposed on domestic and foreign investors. Lastly, international and local investors may build on a more profound understanding of the H- versus A-share discount (hereafter H-share discount) to narrow down attractive investment opportunity sets, especially in the light of the latest regulatory changes on the Chinese equity market. As of August 2007 the government body monitoring and regulating the national currency, China s State Administration of Foreign Exchange (SAFE), loosened its rigorous foreign exchange policy. Prior to the recent SAFE ruling, the annual amount to be freely converted from Chinese Yuan Renminbi (RMB) into foreign currencies was capped at a 50,000 United States Dollar (USD) limit. Under the new regime, mainland retail investors are granted unlimited convertibility of RMB into Hong Kong Dollar (HKD) given that investments flow into the Hong Kong securities market. In the [...]

Download or read book Chinese and Global Financial Integration Through Stock Connect written by Flora Huang and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This significant and timely book explores a novel market mechanism, Stock Connect, which gives mutual market access to Chinese and international investors, and provides original analyses and fresh insights. This mechanism could become the new normal in future global financial integration. By examining this cross-border scheme from a regulatory perspective via a three-tiered analytical framework (investors, issuers and regulators), this book unearths the profound implications of Stock Connect to local and global financial markets and the legal impediments to its implementation. It covers a broad range of topics in this cross-boundary investment channel, including an overview of four existing connectivity arrangements (Shanghai-Hong Kong, Shenzhen-Hong Kong, Shanghai-London and China-Switzerland), the uniqueness of these connectivity arrangements, investor protection, regulations of connect issuers, regulatory cooperation and enforcement, the impacts on local and global financial markets, the implications for the world market connectivity as well as the challenges and future of Stock Connect. This pioneering study will appeal to a broad range of readers who are interested in the on-going reshaping of international financial systems and China's emerging influence in the international financial order.

Download or read book The Impact of the Shanghai Hong Kong Connect on Market Liquidity and Price Divergence written by Michael J. Aitken and published by . This book was released on 2017 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: The economic growth of China has seen an increase in its demand for capital, fuelling its local stock markets. This paper examines a market liberalisation event between China and Hong Kong and its impact on market liquidity and price convergence for cross-listed stocks in the two markets. On November 17, 2014, the Shanghai Stock Exchange and the Hong Kong Stock Exchange introduced the Shanghai-Hong Kong Stock Connect (SHHKConnect), a bilateral investment channel between the two markets. The new channel brings with it accesses to new capital for domestic firms and trading expertise from new foreign participants for both regions. The SHHKConnect permits mutual market access for market participants, facilitating trade in each market using existing trading infrastructure. This study adopts a difference-in-difference methodology and finds that market liquidity as proxied by transaction costs, improves in both markets, for eligible stocks that are traded through the bilateral investment channel, three-months post November 17, 2014. Over a longer event horizon of six-months, liquidity in China continues to improve, whereas in Hong Kong it decreases. In addition, reported results identify that the pre-existing price premium between cross-listed China A-shares and Hong Kong H-shares, increases following the market design change. We attribute the increase in price divergence to the incremental improvement in liquidity in China vis-à-vis Hong Kong.

Download or read book The Impact of the Shanghai Hong Kong Connect on the Market Liquidity and Price Divergence written by Karen Xiaotong Wang and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The economic growth of China has seen an increase in its demand for capital, fueling its local stock markets. This paper exams a market liberalisation event between China and Hong Kong and its impact on: (1) market liquidity and (2) price differentials between cross-listed stocks across the two markets. On November 17, 2014, the Shanghai Stock Exchange and the Hong Kong Stock Exchange introduced the much anticipated, Shanghai-Hong Kong Connect, a bilateral investment channel between the two markets. The new channel brings with it accesses to new capital for domestic firms and trading expertise from new foreign participants. The Shanghai-Hong Kong Connect permits mutual market access for market participants, allowing investors in each market to trade in the other market using existing trading infrastructure. This study adopts a difference-in-difference methodology and finds that market liquidity as proxied by transaction costs, improves in both markets, for eligible stocks that are traded through the bilateral investment channel, post November 17, 2014. This result is consistent with literature, which identifies the benefits of open and enhanced market access. In addition, reported results identify that the pre-existing price premium between cross-listed China A-shares and Hong Kong H-shares, increases following the market design change. Contrary to expectations, this result is attributed to the incremental improvement in liquidity in China for cross-listed stocks vis-à-vis Hong Kong. Overall, results in this study demonstrate that the partial liberalisation of fund flow between the two markets had a positive impact on liquidity, in particular for China's largest equity market the Shanghai Stock Exchange.

Download or read book The Puzzle of the AH Price Disparity of Chinese Dual Listed Companies written by Nicolo Angerer and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, the well-known AH share price disparity in the Chinese financial market is tackled by analysing dual listed companies with outstanding A-shares listed on a Chinese stock exchange, as well as outstanding H-shares on the Hong Kong stock exchange. Despite the capital liberalization efforts of recent years and against the theories of classical finance, A-shares with identical voting and dividend rights are on a weighted average around 30% more expensive than their counterpart H-shares. The objective is to analyse the established explanations for this share price disparity by employing several multiple regressions on 63 stock pairings over the time horizon of 2006 - 2016. The paper at hand differs from existing research in terms of a lower degree of segmented markets due to most recent liberalization efforts and therefore a different regulatory environment, and furthermore a longer time horizon and a higher number of available stock pairings. The paper concludes that A-share premiums can partially be explained by differences in required returns due to differences in risk and volatility of the two share types. Furthermore, a significant impact on the premium of factors that capture the differences in the supply of the shares as well as liquidity differences in the markets is observed. Evidence is mixed on the impact of information asymmetries as well as speculative behaviour in the A-share market. On the other hand, no significant impact of differences in the underlying currency risk could be confirmed.

Download or read book Chinese Companies and the Hong Kong Stock Market written by Flora Xiao Huang and published by Routledge. This book was released on 2013-10-30 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: Listing by companies from one country on the stock market of another country is a device often used both to raise capital in, and to increase bonding with, the target country. This book examines the listing by Chinese companies on the Hong Kong stock market. It discusses the extent of the phenomenon, compares the two different regulatory regimes, and explores the motivations for the cross-listing. It argues that a key factor, in addition to raising capital and bonding with the Hong Kong market, is Chinese companies’ desire to encourage legal and regulatory reforms along Hong Kong lines in mainland China, in order to develop and open up China’s domestic capital markets.

Download or read book The Influence of Shanghai Hong Kong Stock Connect on the Mainland China and Hong Kong Stock Markets written by Yang-Chao Wang and published by . This book was released on 2017 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: China has been intensively launching opening-up policies since November 2014. Among these policies, the Shanghai-Hong Kong Stock Connect offers international investors an approach to investing directly in Mainland China stock markets. At the same time, Mainland China capital can gain access to overseas markets via Hong Kong. This study investigates the influence of the policy by using the Vector Autoregressive and Generalized Autoregressive Conditional Heteroscedastic framework. The results show that the new policy has different impacts on the Shanghai, Shenzhen, and Hong Kong stock markets due to their distinct market features and policy restrictions. The three markets also transmit the policy effects to one another due to their close linkages. It not only indicates that Mainland China financial centers (Shanghai and Shenzhen) integrate with one of international financial centers (Hong Kong), but also symbolizes the gradually increasing strength of Chinese policy effects on global capital markets.

Download or read book The Impact of Shanghai Hong Kong Stock Connect Policy on Price Difference Announcement Effects and Market Efficiency of A Shares and H Shares written by 林娟卉 and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Stock Connect Programs written by Jiadi Cheng and published by . This book was released on 2020 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Stock Connect programs are important steps for China to liberate its relatively restricted financial market. The Shanghai - Hong Kong Stock Connect program launched in 2014, and the Shenzhen - Hong Kong program launched in 2016 allowed both institutional and individual international investors access to the Chinese stock market for the first time. This paper studies the impact of the Stock Connect programs on Chinese stock returns and Chinese stock market's integration with international stock markets using 2SLS regression analysis. Regression results show that the launch of the SH - HK Stock Connect program increased daily returns of all four eligible indexes under Stock Connect programs but did not increase correlation between daily performances of Chinese stock market and global stock markets with statistical significance.

Download or read book Changes in Regulation and Prices of Dual listed Stocks in China written by Wing Him Yeung and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The share prices of a company listed on more than one stock exchange usually are in or close to equilibrium. Nevertheless, it has been observed the prices of the same Chinese company listed in China (A shares) and Hong Kong (H shares) are not anywhere close to equivalent. The article invesitgates whether the A and H share returns experience any co-movement, and whether changes in regulations have an impact on the correlations between the returns. Empirical results from this article show that the A and H shares only demonstrate very limited co-movement. In addition, the correlations between the returns are time-varying and are affected by changes in regulations by the Chinese government.

Download or read book The Integration of the Chinese Stock Markets Following the Shanghai Hong Kong Stock Connect written by Sheung-Chi Chow and published by . This book was released on 2018 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the impact of the Shanghai-Hong Kong Stock Connect on the degree of financial integration between the Hong Kong stock market and the Shanghai and Shenzhen stock markets in mainland China. By applying cointegration tests and linear and nonlinear Granger causality techniques on market capitalization and market index, we find that the stock markets from mainland China are increasingly influencing the Hong Kong stock market after the introduction of the Stock Connect scheme. Following the scheme's introduction, the cointegration relationship between China and Hong Kong in terms of market capitalizations and market indices is also increasing. Moreover, Granger causality effects on market capitalizations and market indices from China remain strong, while the directional Granger cause of the two variables from Hong Kong to China has become weak or been rejected. Our study indicates that further opening of the Chinese stock markets enhances their leading roles, given that market capitalizations and market indices exhibit the highest degree of explanatory power regarding market correction toward long-run equilibrium. However with nonlinear causality test, our results indicate that Hong Kong stock market is still relevant to understand and predict China stock market after the introduction of the Stock Connect scheme.

Download or read book Hong Kong Shanghai Connect Hong Kong Beijing Disconnect Scaling the Great Wall of Chinese Securities Trading Costs written by Ravi Kashyap and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We utilize a fundamentally different model of trading costs to look at the effect of the opening of the Hong Kong Shanghai Connect that links the stock exchanges in the two cities, arguably the biggest event in international business and finance since Christopher Columbus set sail for India. We design a novel methodology that compensates for the lack of data on trading costs in China. We estimate trading costs across similar positions on the dual listed set of securities in Hong Kong and China, hoping to provide useful pieces of information to help scale “The Great Wall of Chinese Securities Trading Costs”. We then compare actual and estimated trading costs on a sample of real orders across the Hong Kong securities in the dual listed pair to establish the accuracy of our measurements.The primary question we seek to address is “Which market would be better to trade to gain exposure to the same (or similar) set of securities or sectors?” We find that trading costs on Shanghai, which might have been lower than Hong Kong, might have become higher leading up to the Connect. What remains to be seen is whether this increase in trading costs is a temporary equilibrium due to the frenzy to gain exposure to Chinese securities or whether this phenomenon will persist once the two markets start becoming more and more tightly coupled. It would be interesting to see if this pioneering policy will lead to securities exchanges across the globe linking up one another, creating a trade anything, anywhere and anytime marketplace. Looking beyond mere trading costs, such studies can be used to gather some evidence on what effect the mode of governance and other aspects of life in one country have on another country, once they start joining up their financial markets.

Download or read book Shanghai Hong Kong Stock Connect to Boost Reciprocal Investment in RMB Securities written by Eiichi Sekine and published by . This book was released on 2015 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: In April 2014, Chinese Premier Li Keqiang announced Shanghai-Hong Kong Stock Connect as part of China's efforts to open-up its capital markets. The arrangement linking stock exchanges makes reciprocal trading in RMB listed (cash) stocks possible from both mainland China and Hong Kong. The program may be expanded to allow Shanghai investors to trade on other exchanges besides Hong Kong, and this should create opportunities for brokerage firms.

Download or read book Dual Listed Shares and Trading written by Clark Liu and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study companies with dual-listed shares in China (mainland) and Hong Kong. When China has a short-sale ban, Chinese stock prices are 1.8x as high as Hong Kong prices (on average). Stock pairs with higher fundamental volatilities or more volatile order flows have higher price disparities (on average). The average stock pair's return difference is volatile and has a standard deviation of 8.8% per week. This paper shows that order flows can affect both a company's fundamental price and/or its transitory prices. In Hong Kong, transitory variance accounts for 39% of a stock's total variance. These results are surprising because the average market capitalization is over USD 8 billion for the Hong Kong-listed shares and the turnover is over 2.5x per annum. We exploit a quasi-natural experiment in which the short-sale ban is lifted for some Chinese stocks but not others. After the ban is lifted, the affected shares trade at parity. We estimate that lifting the short-sale ban in China (mainland) reduces weekly transitory volatility in Hong Kong by 49 bp per week because it enables a hedging mechanism.

Download or read book Does Shanghai Hong Kong Stock Connect Drive Market Comovement Between Shanghai and Hong Kong written by Rufei Ma and published by . This book was released on 2018 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines whether the Shanghai-Hong Kong Stock Connect program drivesmarket comovement between Shanghai and Hong Kong. We distinguish financial liberalization induced market comovement from that induced by other factors through comparing time-varying market correlations of Shanghai-Hong Kong with those of Shenzhen-Hong Kong. Our results show, if we ignore the period of market crash, the market correlation between Shanghai and Hong Kong does not significantly increase after launch of the program. Furthermore, inconsistent with theoretical prediction, we find that the correlation between Hong Kong and financially non-liberalized Shenzhen market increase much more than that between Hong Kong and financially liberalized Shanghai market in market turbulence.The results implicate the Shanghai-Hong Kong Stock Connect program is not the main fundamental force drives market comovement between Shanghai and Hong Kong in the short run.