Does the Stock Connect Program Eliminate the Price Disparities of Cross-listed Companies?
نویسنده
چکیده
China launched the Shanghai – Hong Kong Stock Connect Program on November 17, 2014. It announced the first time that China opened its capital market to foreign retail investors. This paper seeks to analyze the effect of this program on the companies cross-listed on the Shanghai Stock Exchange and Hong Kong Stock Exchange. With a more liquid market, the price disparities between these crosslisted companies should decrease. However, from the time series and econometric regression analysis conducted in this paper, the result shows the price disparities actually increases. In addition, different industries respond differently to this program.
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