Return and Liquidity Comovement in the Shanghai and Hong Kong Stock Connect
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Using the liquidity and comovement measures, the study examines whether the Shanghai- Hong Kong Stock Connect drives the comovement in return and liquidity between Shanghai and Hong Kong stock exchange from 2017-2019. The study is bases on hourly trading activities of 100 Shanghai stocks and 100 Hong Kong stocks, and the effect of exchange rate (HKD/CHY), to analyse the comovement in return and liquidity between two stock exchanges from 2017-2019 by Malceniece et al., (2019)’s methodologies.
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