Foreign Investment and Stock Price Informativeness: Evidence From the Shanghai (Shenzhen)-Hong Kong Stock Connect

被引：9

作者：

Lei, Zhen ^{[1
]}

Lu, Haitian ^{[1
]}

机构：

[1] Hong Kong Polytech Univ, Hong Kong, Peoples R China

来源：

JOURNAL OF ACCOUNTING AUDITING AND FINANCE | 2024年 / 39卷 / 01期

关键词：

foreign investment; stock market liberalization; synchronicity; Shanghai-Hong Kong Stock Connect; informed trading; FIRM-SPECIFIC INFORMATION; SHARE-STRUCTURE REFORM; INSTITUTIONAL INVESTORS; SYNCHRONICITY EVIDENCE; MARKET LIBERALIZATION; EARNINGS MANAGEMENT; OWNERSHIP STRUCTURE; EMERGING MARKETS; STATE OWNERSHIP; HONG-KONG;

D O I：

10.1177/0148558X211042953

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article investigates the impact of heterogeneous foreign investment on home market stock price informativeness. Evidence from China's nascent A-share market shows non-segmented foreign investment reduces firms' stock return synchronicity, while segmented foreign investment does not. Using the Shanghai (Shenzhen)-Hong Kong Stock Connect program as a natural experiment that exogenously increases non-segmented foreign ownership, we find that synchronicity drops significantly for program stocks relative to the control stocks. Our results are most consistent with an "informed trading" explanation, rather than a "learning" or "governance" explanation. These results have policy implications for stock market liberalization programs.

引用

页码：181 / 204

页数：24

共 67 条

[1] Where does price discovery occur for stocks traded in multiple markets? Evidence from Hong Kong and London [J].