The Short-term Impact of the Expansion of the Shanghai Hong Kong Stock Connect Pricing on Efficiency of China's A-share Market
China conducted the largest two-way expansion of the Shanghai Hong Kong Stock Connect since its opening on March 13,2023.This article analyzes the short-term impact of this expansion on the stock pricing efficiency of the A-share market.The paper treats the expansion of the Shanghai Hong Kong Stock Connect as a quasi-natural experiment,uses the data of A-share Shanghai Hong Kong Stock Connect target listed companies in the two months before and after the expansion on March 13,2023,as the research sample,and uses the double difference method to analyze the short-term impact of the expansion on the pricing efficiency of China's Shanghai A-share market.It was found that the expansion of the Shanghai Hong Kong Stock Connect has a significant positive effect on improving the pricing efficiency of the A-share market.It improves the response speed of China's Shanghai A-share market to information.The study also finds that the pricing improvement is more significant for stocks with high turnover rates and stocks with smaller market capitalization and higher trading turnover.This study provides a new perspective on the relationship between the expansion of the Shanghai Hong Kong Stock Connect and the improvement of market efficiency and provides policy insights to optimize the interconnection mechanisms.
Shanghai Hong Kong Stock Connect ExpansionMarket Pricing EfficiencyInterconnection MechanismShort Term ImpactInformation Response Speed
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