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Research Paper | Economics | China | Volume 8 Issue 3, March 2019 | Rating: 6.7 / 10
An Empirical Study on the Impact of Stock Market Interconnection Policyon A-H Premium
Shuman Zhang
Abstract: This paper examines whether the implementation of the stock market interconnection policy reduces the A-H premium by combining the four hypothesis of impact mechanism on the A-H premium. This study conducts quantitative approach and use panel data of 81 companies within Chinese equity markets over the period of two stock interconnect policy (Shanghai-Hong Kong stock connect policy and Shenzhen-Hong Kong stock connect policy). The conclusion shows that the implementation of Shanghai-Hong Kong stock connect policy has significantly increased the A-H premium. The implementation of Shenzhen-Hong Kong stock connect does not have a significant impact on A-H premium.
Keywords: stock market interconnection policy, SH-HKSC, SZ-HKSC, A-H premium
Edition: Volume 8 Issue 3, March 2019,
Pages: 78 - 80