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The Cross-Border Price Discovery and the Shanghai-Hong Kong Stock Connect

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Listed:
  • Chun-I Lin
  • Kuan-Yi Chiang
  • Ming-Chih Lee
  • Yen-Hsien Lee

Abstract

This study mainly investigates the price discovery relationship between stock and futures markets and the cross-border price discovery relationship between Chinese and Hong Kong markets after the launch Shanghai-Hong Kong Stock Connect Progress. We find that this progress increases the speed of adjustment from the long-term equilibrium in the Chinese spot and futures markets. Moreover, the price discovery process mainly happens in Hong Kong’s spot and futures markets. Final, cross-border price discovery is from Hong Kong to China after this progress. JEL classification numbers: G15, G18

Suggested Citation

  • Chun-I Lin & Kuan-Yi Chiang & Ming-Chih Lee & Yen-Hsien Lee, 2021. "The Cross-Border Price Discovery and the Shanghai-Hong Kong Stock Connect," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 11(3), pages 1-2.
    • Handle: RePEc:spt:admaec:v:11:y:2021:i:3:f:11_3_2
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    References listed on IDEAS

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    More about this item

    Keywords

    Price Discovery; Shanghai-Hong Kong Stock Connect;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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