scholarly journals Does the Capital Market Opening Improve the Price Discovery Efficiency of Stock Market? An Empirical Research Based on Shanghai-Hong Kong Stock Connect

2021 ◽  
Vol 2021 ◽  
pp. 1-14
Author(s):  
Xueyan Yu ◽  
Yanbing Yu
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Information Content ◽  
Insider Trading ◽  
Capital Market ◽  
Stock Price ◽  
Price Discovery ◽  
Price Information ◽  
Market Opening ◽  
Reaction Speed

Whether capital market opening improves the price discovery efficiency of stock market is an important issue. Shanghai-Hong Kong Stock Connect (hereafter, SHKSC) is a milestone event in the opening up of China’s capital market. Based on SHKSC, using the method of PSM + DID, we study the impact of capital market opening on the price discovery efficiency from two dimensions-stock price information content and price reaction speed to information. Our research shows that capital market opening did not increase stock price information content, but speed up the reaction of price to information. Therefore, capital market opening improves capital market’s price discovery efficiency in terms of response speed of stock price to information. Further analysis shows that capital market opening affects stock price reaction speed through improving market information environment and reducing insider trading, but it has not yet had a substantial impact on listed companies’ earnings quality, which is the main participant in the capital market, and therefore has failed to influence the stock price information content. In order to maximize the effectiveness of capital market opening, it is necessary to introduce more effective policies to improve the information disclosure quality of listed firms and reduce the level of insider trading.

scholarly journals Why is the Capital Market Opening up and Stock Price Linkage?—Empirical Research Based on “Land-Hong Kong Stock Connect”

2020 ◽  
Vol 6 (2) ◽  
pp. p38
Author(s):  
Ji Yuxi
Keyword(s):  
Hong Kong ◽  
Capital Market ◽  
Stock Prices ◽  
Stock Price ◽  
Listed Companies ◽  
Point Of View ◽  
Double Difference ◽  
Herd Behavior ◽  
Market Opening ◽  
Linkage Effect

Based on the quarterly data of all A-share listed companies from 2011 to 2019, this article uses the multi period double difference model to explore the causes and transmission mechanism of the linkage effect of the stock prices of the two cities after the implementation of the “Land-Hong Kong Stock Connect”. The results show that: first, after the implementation of “Land-Hong Kong Stock Connect”, the degree of herd behavior of domestic investors as a whole becomes higher, and the larger the company scale is, the higher the degree of herd behavior of investors is; secondly, after the implementation of “Land-Hong Kong Stock Connect”, all listed companies have the behavior of internal investors imitating external investors, especially small and medium-sized companies; finally, from the overall sample From the point of view, the imitation behavior of internal investors is indeed conducted through the investor network, but it is divided into three categories: large, medium and small companies. Only the imitation transmission path of large companies is the investor network, and small and medium companies do not realize the imitation behavior through the network. The research of this article is helpful to appeal for rational investment of investors and provide empirical evidence support for further opening of capital market.

scholarly journals Capital Market Response to the Change in the Dividend Policy: The Case of Slovenian Stock Market

2016 ◽  
Vol 8 (1) ◽  
pp. 42 ◽  
Author(s):  
Matjaž Mikluš ◽  
Zan Jan Oplotnik
Keyword(s):  
Stock Market ◽  
Capital Market ◽  
Stock Price ◽  
Dividend Policy ◽  
Market Response ◽  
Asymmetry Of Information ◽  
Price Increases ◽  
Signalling Theory ◽  
Stock Price Reaction ◽  
Dividend Increases

<p>The three basic dividend policy theories have a completely different approach to describing the influence of dividends payment on stock price, and on the value of the company. Numerous studies conducted in this area have led to almost as many derived dividend policy theories, which are more or less related to the basic three. As one of them Wang, Manry &amp; Wandler (2011) specify the dividend signalling theory, which is based particularly on the assumption of the asymmetry of information between the company management and the shareholders and in recent decades it has been studied by many authors, who mostly concluded that dividend increase has a positive stock price reaction, and vice versa, that dividend decrease results in stock price falls (as cited in Ross, 1977; Leland and Pyle, 1977; Grinblatt et al., 1984; Baker and Phillips, 1993; Rankine and Stice, 1997; Bechmann and Raaballe, 2007). For the purposes of our analysis we adopted the methodology of foreign researches and checked the existence of the dividend signalling theory in the Slovenian stock market. The Slovenian stock market is one of developing markets, and is particularly specific due to its small size and illiquidity. Our research resulted in no statistically significant stock price increases from company dividend increases, whereby we have refuted the research hypothesis and, consequently, the dividend signalling theory in the Slovenian stock market in the described period.</p>

scholarly journals Does switching trading venues create value? Evidence from Hong Kong

2020 ◽  
Vol 27 (2) ◽  
pp. 209-222 ◽  
Author(s):  
Johnny K.H. Kwok
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Stock Price ◽  
Abnormal Returns ◽  
Excess Returns ◽  
Trading Activity ◽  
Content Type ◽  
Growth Enterprise Market ◽  
Two Measures ◽  
Hong Kong Stock Market

PurposeThe purpose of this paper is to study whether switching trading venues create value in the Hong Kong stock market.Design/methodology/approachBy using an event study, the paper investigates the abnormal returns (AR) earned by firms in the Growth Enterprise Market (GEM) relating to switching to the Main Board (MB). Two measures, turnover of the stock and Amihud’s (2002) illiquidity ratio, are used to examine the liquidity effects.FindingsThe switch is accompanied by a long-term increase in stock price for low liquidity firms only. High liquidity firms underperform with persistent negative excess returns after switching, while the transient negative excess returns in low liquidity firms reverse gradually. The results further show a significant increase in trading activity for low liquidity firms following the switch, while there is a significant decline in both trading activity and liquidity in firms with high liquidity. The overall results suggest that moving from GEM to the MB is beneficial to low liquidity firms but detrimental to high liquidity firms.Originality/valueThis study is the first to investigate whether moving from GEM to the MB creates value in the Hong Kong stock market.

scholarly journals The impact of the US stock market opening on price discovery of government bond futures

2019 ◽  
Vol 39 (7) ◽  
pp. 779-802 ◽  
Author(s):  
Ivan Indriawan ◽  
Feng Jiao ◽  
Yiuman Tse
Keyword(s):  
Stock Market ◽  
Price Discovery ◽  
Government Bond ◽  
Market Opening ◽  
The Us ◽  
The Impact ◽  
Bond Futures

The more connected, the better? Impact of connectedness on volatility and price discovery in the Korean financial sector

2018 ◽  
Vol 44 (1) ◽  
pp. 46-73 ◽  
Author(s):  
DeokJong Jeong ◽  
Sunyoung Park
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Financial Institutions ◽  
Market Microstructure ◽  
Stock Price ◽  
Price Discovery ◽  
Global Financial Crisis ◽  
Financial Sector ◽  
Asian Crisis ◽  
Content Type

Purpose The purpose of this paper is to empirically analyze the effect of the increasing connectedness among financial institutions in the Korean financial market, as it affects the market microstructure in the stock market. Thus this work, first, analyzes the trend and characteristics of connectedness in the Korean financial sector. This work then demonstrates the impacts of connectedness on volatility and price discovery in the stock market. Design/methodology/approach The entire Korean financial sector is analyzed from January 1990 to July 2015, including the periods of the 1997 Asian crisis and the 2007/2008 global financial crisis. This paper quantifies the connectedness between financial institutions using network methodology. Densely connectedness specifically refers to the cases in which a node experiences strong-lagged return spillover from and/or to itself. Findings Connectedness is established as an important determinant of stock price discovery. This paper illustrates that connectedness increases on significant economic events such as the 1997 Asian crisis and the 2007/2008 global financial crisis. Furthermore, this paper demonstrates that the more densely connected a particular financial institution, the more volatile the stock price and the less accurate the stock price quality. Research limitations/implications Understanding the financial system from a network perspective has been on the rise after the 2007/2008 global financial crisis. This work helps regulators and policy makers understand the full implications of introducing new policies that can more closely connect financial institutions. Originality/value This paper precisely captures financial institutions’ connectedness by including all types of financial institutions at the micro level. Additionally, this paper links connectedness to market microstructure in the stock market.

The Shanghai-Hong Kong Stock Market

2015 ◽  
Vol 07 (03) ◽  
pp. 36-45
Author(s):  
Jing WAN
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Capital Markets ◽  
Capital Market ◽  
Stock Markets ◽  
Market Access ◽  
Mainland China ◽  
Opening Up ◽  
Hong Kong Stock Market ◽  
The Capital Market

The Stock Connect scheme launched on 17 November 2014 was the first mutual market access between mainland China and Hong Kong stock markets. It is the biggest move ever in the opening up of the capital market. Experiences accumulated will be of great value to mainland regulators who will decide on how these experiences could be utilised for China’s future opening up of its capital markets and for accelerating renminbi internationalisation.

WHEN THE BUBBLE IS GOING TO BURST …

1999 ◽  
Vol 02 (03) ◽  
pp. 285-292 ◽  
Author(s):  
JING CHEN
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Stock Price ◽  
Price Change ◽  
Convertible Bond ◽  
Price Behavior ◽  
Clear Signal ◽  
Security Markets ◽  
Relationship Of ◽  
The Relationship

There has been constant debate about the predictability of the security markets. We examine the relationship between the prices of a stock and its convertible bond during the Hong Kong stock market bubble of 1997 and its subsequent crash. We find that the price behavior of the share and the convertible bond not only gave a clear signal of the market reversal, but also the minimum range of the stock price change. This example offers concrete evidence that the market becomes highly predictable at times and gives us a chance to understand the relationship of the underlying stock and its derivatives during market bubbles.

PEMODELAN HARGA SAHAM BLUE CHIP MENGGUNAKAN VECTOR AUTOREGRESSIVE (VAR)

2016 ◽  
Vol 6 (2) ◽  
pp. 1
Author(s):  
Agus Suharsono ◽  
Aryo Wibisono
Keyword(s):  
Stock Market ◽  
Capital Markets ◽  
Capital Market ◽  
Stock Price ◽  
Stock Exchange ◽  
Rapid Development ◽  
Information Criterion ◽  
Profit Sharing ◽  
Blue Chip ◽  
The Capital Market

In a stock exchange in the capital market, the most in demand by investors is stocks. Shares are securities which shows the ownership of the company, so that shareholders have the right to a dividend or other distribution of profit sharing as well as by the company to its shareholders. The capital market is an indicator of economic progress and support the economy of a country. In this decade, the stock market has experienced rapid development due to pressure from technological change, liberalization and globalization. These changes affect the behavior of the capital markets and cause long-term balance and improving the relations between the world's capital markets. Otherwise interconnected capital markets if the two separate markets have the same movement and the correlation between the movement of the index. Capital markets in the region are likely to have the same movement and the effects of contagion (contagion effect) is high (1). During the observation period, October 2015 to March 2016, there was a phenomenon in which IHSG is not always the same and has a correlation with the movement of world stock market indices. It is also supported by the differences found in the results of some previous studies. The purpose of this study was to determine the relationship between stocks bluechip : Astra International Tbk (ASII), Unilever Indonesia Tbk (UNVR), Astra Agro Lestari Tbk (AALI), Bank Rakyat Indonesia Agroniaga (AGRO) and Bank Rakyat Indonesia (BRI ). The analytical method used in this study is Multivariate Time Series, especially Vector Autoregression (VAR). The results of this study with the model produces the best model VAR (2), AGRO = 11.56 - 4.03*ASII(-1) - 4.40*ASII(-2) + 3.76*UNVR(-1) + 1.27*UNVR(-2) + 1.38*AALI(-1) + 2.54*AALI(-2) + 0.73*AGRO(-1) + 0.14*AGRO(-2) + 5.40*BRI(-1) - 1.34*BRI(-2). The value of AIC (Akaike Information Criterion) = 4.47 Keywords: BLUE CHIP, Stock Price, VAR.

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