| 题名: | The Cross-Border Price Discovery and the Shanghai-Hong Kong Stock Connect |
| 作者: | Lin, Chun-I;Chiang, Kuan-Yi;Lee, Ming-Chih;Lee, Yen-Hsien |
| 关键词: | Price Discovery;Shanghai-Hong Kong Stock Connect |
| 日期: | 2021-03-21 |
| 上传时间: | 2023-04-28 16:25:58 (UTC+8) |
| 出版者: | Scientific Press International Limited |
| 摘要: | 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 |
| 關聯: | Advances in Management and Applied Economics 11(3), P. 13-28 |
| DOI: | 10.47260/amae/1132 |
| 显示于类别: | [財務金融學系暨研究所] 期刊論文
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