【摘 要】
：
This paper studies the Shanghai-Hong Kong stock market connect program,which “creates” the second largest stock exchange in the world.Compared to unconnec
【机 构】
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PBCSF,Tsinghua University
【出 处】
：
2016《中国金融评论》国际研讨会
论文部分内容阅读
This paper studies the Shanghai-Hong Kong stock market connect program,which “creates” the second largest stock exchange in the world.Compared to unconnected stocks with similar firm characteristics,connected stocks in Shanghai experience a value appreciation of 1.8%(13 billion USD)over the seven-day announcement window and a significant increase in turnover and volatility after the announcement.More importantly,the value appreciation,increase of turnover,and increase of volatility are all significantly larger for stocks with higher speculative beta.Our findings are consistent with the theoretical prediction that the demand elasticity of price increases with speculative trading.
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