Effects of cross-border capital flows on stock returns of dual-listed firms in mainland China and Hong Kong: Evidence from a natural experiment
Effects of cross-border capital flows on stock returns of dual-listed firms in mainland China and Hong Kong: Evidence from a natural experiment
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DOI：
10.1111/1468-0106.12321
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发表时间：
2020
影响因子：
1.5
通讯作者：
Dong Luo
中科院分区：
文献类型：
--
作者：
Wu Jia;Lin Jiada;Yang Zhenyu;Dong Luo
本文分析了沪港通政策对两地上市公司A股和H股价差的影响。利用差分估计方法，我们发现，该政策使处理后的DLC的相对孪生累积异常收益率降低了3%，缩小了A股和H股的价差。我们确定，对H股的需求上升推动了H股价格的上涨。H股是内地投资者新进入的市场。相比之下，A股价格保持不变。进一步分析表明，跨境资本流动是政策的主力军。
This study analyses the effects of the Shanghai–Hong Kong Stock Market Connect policy on the price disparity between A‐shares and H‐shares of dual‐listed companies (DLC). Using a difference‐in‐difference estimation method, we show that the policy decreases the relative twin cumulative abnormal returns of treated DLC by 3% and narrows the price gaps between A‐shares and H‐shares. We determine that the rising demand for H‐shares, which are newly accessible by mainland investors, drives the price of H‐shares up. By contrast, the price of A‐shares remains unchanged. Further analysis reveals that cross‐border capital flow is the main force of the policy.