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Foreign Investment and Stock Price Informativeness: Evidence From the Shanghai (Shenzhen)–Hong Kong Stock Connect.
- Source :
- Journal of Accounting, Auditing & Finance; Jan2024, Vol. 39 Issue 1, p181-204, 24p
- Publication Year :
- 2024
-
Abstract
- This article investigates the impact of heterogeneous foreign investment on home market stock price informativeness. Evidence from China's nascent A-share market shows non-segmented foreign investment reduces firms' stock return synchronicity, while segmented foreign investment does not. Using the Shanghai (Shenzhen)–Hong Kong Stock Connect program as a natural experiment that exogenously increases non-segmented foreign ownership, we find that synchronicity drops significantly for program stocks relative to the control stocks. Our results are most consistent with an "informed trading" explanation, rather than a "learning" or "governance" explanation. These results have policy implications for stock market liberalization programs. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 0148558X
- Volume :
- 39
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Journal of Accounting, Auditing & Finance
- Publication Type :
- Academic Journal
- Accession number :
- 173824591
- Full Text :
- https://doi.org/10.1177/0148558X211042953